Random volatility and option prices with the generalized Student-t distribution

MaRDI QIDQ3409044zbMATH OpenFDO

Authors Mark Fielding, Fima Klebaner, Zinoviy Landsman

Publication date 7 November 2006

zbMATH Keywords

Bayesian statisticsBlack-Scholesimplied volatilitysmile effect

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae
• scientific article; zbMATH DE number 2099866 (Why is no real title available?)
• Option pricing with heavy-tailed distributions of logarithmic returns

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