Pricing European Options Based on a Logarithmic Truncated t-Distribution  

作　　者：Yingying Cao Xueping Liu Yiqian Zhao Xuege Han Yingying Cao;Xueping Liu;Yiqian Zhao;Xuege Han(School of Mathematics and Information Science, Henan Polytechnic University, Jiaozuo, China)

机构地区：[1]School of Mathematics and Information Science, Henan Polytechnic University, Jiaozuo, China

出　　处：《Journal of Applied Mathematics and Physics》2023年第5期1349-1358,共10页应用数学与应用物理（英文）

摘　　要：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.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.

关 键 词：Option Pricing Logarithmic Truncated t-Distribution Asset Returns Risk-Neutral Valuation Approach 

分 类 号：O17[理学—数学]