Lin, L., Li, Y. and Wu, J. (2018) The Pricing of European Options on Two Underlying Assets with Delays. Physica A: Statistical Mechanics and Its Applications, 495, 143-151.
https://doi.org/10.1016/j.physa.2017.12.031

has been cited by the following article:

• TITLE: Pricing European Options Based on a Logarithmic Truncated t-Distribution

  AUTHORS: Yingying Cao, Xueping Liu, Yiqian Zhao, Xuege Han

  KEYWORDS: Option Pricing, Logarithmic Truncated t-Distribution, Asset Returns, Risk-Neutral Valuation Approach

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.11 No.5, May 25, 2023

  ABSTRACT: The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.