Kil, H.M. and Kim, J.H. (2022) A Closed-Form Approximation Formula for Pricing European Options under a Three-Factor Model. Probability in the Engineering and Informational Sciences, 36, 1214-1240.
https://doi.org/10.1017/S0269964821000322

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.