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摘要翻译：
股票收益的分布不能很好地用正态概率密度函数(pdf)来描述。学生的t-分布，有胖尾巴，是已知的拟合分布的回报。我们用对数学生t分布给出了欧式看涨期权或看跌期权的定价，我们称其为Gosset方法，以纪念W.S.戈塞特，诺姆·德·普鲁姆学生背后的作者。我们提出的方法可以用来定价欧式期权使用其他分布和收益率的Black-Scholes公式的正常PDF描述的回报。
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英文标题：
《Pricing European Options with a Log Student's t-Distribution: a Gosset
Formula》
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作者：
Daniel T. Cassidy (McMaster University, Department of Engineering
Physics, Hamilton, ON, Canada), Michael J. Hamp (Scotiabank, Toronto, ON,
Canada), and Rachid Ouyed (Department of Physics&Astronomy, University of
Calgary, Calgary, AB, Canada and Origins Institute, McMaster University,
Hamilton, ON, Canada)
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student's t-distributions, which have fat tails, are known to fit the distributions of the returns. We present pricing of European call or put options using a log Student's t-distribution, which we call a Gosset approach in honour of W.S. Gosset, the author behind the nom de plume Student. The approach that we present can be used to price European options using other distributions and yields the Black-Scholes formula for returns described by a normal pdf.
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PDF链接：
https://arxiv.org/pdf/0906.4092
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