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

zbMATH Open1125.62115MaRDI QIDQ3409044FDOQ3409044

Authors: Mark Fielding, Fima Klebaner, Zinoviy Landsman 

Publication date: 7 November 2006

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zbMATH Keywords

Bayesian statisticsBlack-Scholesimplied volatilitysmile effect

Mathematics Subject Classification ID

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

Cited In (3)

• Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae
• Title not available (Why is that?)
• Option pricing with heavy-tailed distributions of logarithmic returns

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