标题： 用对数Student's t分布定价欧式期权：一个Gosset公式 显示英文标题

标题： Pricing European Options with a Log Student's t-Distribution: a Gosset Formula

摘要： 股票收益率的分布不能很好地由正态概率密度函数（pdf）描述。具有厚尾特性的学生 t 分布已知可以拟合收益率的分布。我们提出了使用对数学生 t 分布（我们以 W.S. 高塞特的名义尊称这种方法为高塞特方法）来定价欧式看涨或看跌期权。我们提出的方法不仅可以用于使用其他分布来定价欧式期权，还可以得出正态 pdf 描述的收益率的 Black-Scholes 公式。 显示英文摘要

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.