Log Student’st-distribution-based option sensitivities: Greeks for the Gosset formulae
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Publication:5397462
DOI10.1080/14697688.2012.744087zbMath1281.91153arXiv1003.1344MaRDI QIDQ5397462
Michael J. Hamp, R. Ouyed, Daniel T. Cassidy
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.1344
stochastic volatility; option pricing; Black-Scholes model; non-Gaussian option pricing; derivatives hedging
91G20: Derivative securities (option pricing, hedging, etc.)
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OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS, Some Inferential Problems from Log Student’s T-distribution and its Multivariate Extension
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