create a website

Students t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae. (2010). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
In: Papers.
RePEc:arx:papers:1003.1344.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 20

References cited by this document

Cocites: 47

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [~1 A. Gerig, J. Vicente, and M. Fuentes, On the Origin of Non-Gaussian Intraday Stock Returns, arXiv 0906:3841, (2009).
    Paper not yet in RePEc: Add citation now
  2. [~1 D.T. Cassidy, M.J. Hamp, and R. Ouyed, Pricing European Options with a Log Student's t-distribution: a Gosset formula, Physica A, 22 submitted June 2009, arXiv 0906:4092.

  3. [~1 J.-P. Bouchaud and D. Sornette, The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes, J. Phys. I France 4 (1994) 863-881.

  4. [~1 M. Evans, N. Hastings, and B. Peacock, Statistical Distributions, 2~'~ edition (John Wiley and Sons, New York, 1993).
    Paper not yet in RePEc: Add citation now
  5. [~l R.C. Blattberg and N. J. Gonedes, A comparison of the stable and Student distributions as statistical models for stock prices, The Journal of Business 47 (1974) 244-280.

  6. [101 S.L. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6 (1993) 32 7-343.

  7. [11 G. Bakshi, C. Cao, and Z. Chen, Empirical performance of alternative option pricing models, J. Finance 52 (1997) 2003-2049.

  8. [111 W.Hu and A.N Kercheval, Portfolio optimization for student t and skewed t returns, Quantitative Finance 10 (2010) 91-105.

  9. [121 E. Kreyszig, Advanced Engineering Mathematics, 3rd edition (John Wiley and Sons, New York, 1972) pg 754.
    Paper not yet in RePEc: Add citation now
  10. [131 B. Mandelbrot, The variation of certain speculative prices, The Journal of Business, 36 (1963) 394-419.

  11. [141 J.L. McCauley, G.H. Gunaratne, and K.E. Bassler, Martingale option pricing, Physica A 380 (2007) 351-356.

  12. [151 L. Moriconi, Delta hedged option valuation with underlying non-Gaussian returns, Physica A 380 (2007) 343-350.

  13. [161 E. Platen, and R. Sidorowicz, Empirical evidence on Student-t log-returns of diversified world stock indices, Quantitative Finance Research Centre, Research Paper 194, University of Technology, Sydney, Broadway, N.S.W., (2007).

  14. [171 PD. Praetz, The distribution of share price changes, The Journal of Business 45 (1972) 49-55.

  15. [191 S.L. Zabell, On Student's 1908 article The probable error of a mean, Journal of the American Statistical Society 103 (2008) 1-7.
    Paper not yet in RePEc: Add citation now
  16. [201 D. Zhu and J. W. Galbraith, 2009, A generalized asymmetric Student's-t distribution with applications to financial economics, [http://EconPapers.repec.org/RePEc:cir:cirwor: 2009s-131 (2009).

  17. [21 P.R. Bevington and D. K. Robinson, Data Reduction and Error Analysis for the Physical Sciences, 3~ edition (McGraw Hill, New York, 2003), pg 39.
    Paper not yet in RePEc: Add citation now
  18. [61 C. de Jong, and R. Huisman, From skews to a skewed-t: modelling option implied returns by a skewed Student- t, Computational Intelligence for Financial Engineering (CIFEr), Proceedings of the IEEE/IAFE/INFORMS 2000 Conference (2000).

  19. [81 E.F. Fama, 1965, The behaviour of stock market prices, The Journal of Business 38 (1965) 34-105.
    Paper not yet in RePEc: Add citation now
  20. Student's t-Distribution Based Option Sensitivities:Greeks for the Gosset Formulae 27 [181 SM. Ross Introduction to Probability Models, 9th edition (Academic Press, 2007), Chapter 10.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimization of a dynamic profit function using Euclidean path integral. (2024). Pramanik, Paramahansa ; Polansky, Alan M.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:4:y:2024:i:1:d:10.1007_s43546-023-00602-5.

    Full description at Econpapers || Download paper

  2. A comparison of the GB2 and skewed generalized log-t distributions with an application in finance. (2024). McDonald, James ; Higbee, Joshua D.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:240:y:2024:i:2:s0304407621000154.

    Full description at Econpapers || Download paper

  3. A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk. (2022). Ferrentino, Rosa ; Vota, Luca.
    In: Journal of Finance and Investment Analysis.
    RePEc:spt:fininv:v:11:y:2022:i:1:f:11_1_2.

    Full description at Econpapers || Download paper

  4. Quantum effects in an expanded Black–Scholes model. (2022). Vvedensky, Dimitri D ; Bhatnagar, Anantya.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:95:y:2022:i:8:d:10.1140_epjb_s10051-022-00402-0.

    Full description at Econpapers || Download paper

  5. Hedging of Financial Derivative Contracts via Monte Carlo Tree Search. (2021). Szehr, Oleg.
    In: Papers.
    RePEc:arx:papers:2102.06274.

    Full description at Econpapers || Download paper

  6. Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Kim, Youngshin ; Roh, Kum-Hwan.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03018495.

    Full description at Econpapers || Download paper

  7. Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Youngshin.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-03018495.

    Full description at Econpapers || Download paper

  8. Optimization of a Dynamic Profit Function using Euclidean Path Integral. (2020). Pramanik, P ; Polansky, A M.
    In: Papers.
    RePEc:arx:papers:2002.09394.

    Full description at Econpapers || Download paper

  9. OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS. (2019). Stojkoski, Viktor ; Utkovski, Zoran ; Kocarev, Ljupco ; Basnarkov, Lasko.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s0219024919500419.

    Full description at Econpapers || Download paper

  10. Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2019). Stojkoski, Viktor ; Utkovski, Zoran ; Kocarev, Ljupco ; Basnarkov, Lasko.
    In: Papers.
    RePEc:arx:papers:1807.01756.

    Full description at Econpapers || Download paper

  11. Investigation of non-Gaussian effects in the Brazilian option market. (2018). Sosa-Correa, William O ; Vasconcelos, Giovani L.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:496:y:2018:i:c:p:525-539.

    Full description at Econpapers || Download paper

  12. An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral. (2018). Hou, Tiancheng ; Ma, Qinghua ; Yao, Haixiang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:494:y:2018:i:c:p:87-117.

    Full description at Econpapers || Download paper

  13. Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view. (2017). Bil, Ukasz ; Zienowicz, Magdalena ; Grech, Dariusz.
    In: PLOS ONE.
    RePEc:plo:pone00:0188541.

    Full description at Econpapers || Download paper

  14. Econophysics and Financial Economics: An Emerging Dialogue. (2017). Jovanovic, Franck ; Schinckus, Christophe.
    In: OUP Catalogue.
    RePEc:oxp:obooks:9780190205034.

    Full description at Econpapers || Download paper

  15. Volatility smile as relativistic effect. (2017). Kakushadze, Zura.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:475:y:2017:i:c:p:59-76.

    Full description at Econpapers || Download paper

  16. European option pricing under the Student’s t noise with jumps. (2017). Li, Zhe ; Wang, Xiao-Tian ; Zhuang, LE.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:469:y:2017:i:c:p:848-858.

    Full description at Econpapers || Download paper

  17. American Options with Asymmetric Information and Reflected BSDE. (2017). Imkeller, Peter ; Esmaeeli, Neda.
    In: Papers.
    RePEc:arx:papers:1505.05046.

    Full description at Econpapers || Download paper

  18. A Financial Market Model Incorporating Herd Behaviour. (2016). Bishop, Steven R ; Wray, Christopher M.
    In: PLOS ONE.
    RePEc:plo:pone00:0151790.

    Full description at Econpapers || Download paper

  19. The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program. (2016). WALTER, Christian.
    In: Post-Print.
    RePEc:hal:journl:hal-04561141.

    Full description at Econpapers || Download paper

  20. Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry. (2016). Aguilar, Jean-Philippe ; Korbel, Jan ; Coste, Cyril.
    In: Papers.
    RePEc:arx:papers:1611.04320.

    Full description at Econpapers || Download paper

  21. Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models. (2014). Sornette, Didier.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1425.

    Full description at Econpapers || Download paper

  22. Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D..
    In: Papers.
    RePEc:arx:papers:1404.0243.

    Full description at Econpapers || Download paper

  23. Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae. (2013). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:8:p:1289-1302.

    Full description at Econpapers || Download paper

  24. Econophysics: Comments on a Few Applications, Successes, Methods and Models. (2013). ausloos, marcel.
    In: IIM Kozhikode Society & Management Review.
    RePEc:sae:iimkoz:v:2:y:2013:i:2:p:101-115.

    Full description at Econpapers || Download paper

  25. A note on geometric method-based procedures to calculate the Hurst exponent. (2012). TRINIDAD-SEGOVIA, JUAN ; Trinidad Segovia, J. E., ; Fernandez-Martinez, M. ; Sanchez-Granero, M. A..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:6:p:2209-2214.

    Full description at Econpapers || Download paper

  26. Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs. (2011). Wang, Xiao-Tian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:9:p:1623-1634.

    Full description at Econpapers || Download paper

  27. Describing n-day returns with Student’s t-distributions. (2011). Cassidy, Daniel T..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:15:p:2794-2802.

    Full description at Econpapers || Download paper

  28. Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model. (2010). Wang, Xiao-Tian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:4:p:789-796.

    Full description at Econpapers || Download paper

  29. Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs. (2010). Wang, Xiao-Tian ; Tang, Ming-Ming ; Yan, Hai-Gang ; Zhu, En-Hui .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:3:p:452-458.

    Full description at Econpapers || Download paper

  30. Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model. (2010). Wang, Xiao-Tian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:3:p:438-444.

    Full description at Econpapers || Download paper

  31. Pricing European options with a log Student’s t-distribution: A Gosset formula. (2010). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:24:p:5736-5748.

    Full description at Econpapers || Download paper

  32. Students t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae. (2010). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
    In: Papers.
    RePEc:arx:papers:1003.1344.

    Full description at Econpapers || Download paper

  33. Delta-hedging vega risk?. (2004). Crepey, Stephane.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:5:p:559-579.

    Full description at Econpapers || Download paper

  34. OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST. (2001). Mikhailov, Sergei ; Fedotov, Sergei.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000912.

    Full description at Econpapers || Download paper

  35. Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis. (2001). Mantegna, Rosario ; Bonanno, Giovanni ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:cond-mat/0104362.

    Full description at Econpapers || Download paper

  36. Quantifying fluctuations in economic systems by adapting methods of statistical physics. (2000). Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E. ; Amaral, L. A. N., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:3:p:339-361.

    Full description at Econpapers || Download paper

  37. Growth optimal investment and pricing of derivatives. (2000). Baviera, Roberto ; Hammarlid, Ola ; Serva, Maurizio ; Aurell, Erik ; Vulpiani, Angelo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:280:y:2000:i:3:p:505-521.

    Full description at Econpapers || Download paper

  38. Minimal variance hedging of options with student-t underlying. (2000). Pinn, Klaus.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:276:y:2000:i:3:p:581-595.

    Full description at Econpapers || Download paper

  39. Physicists Attempt to Scale the Ivory Towers of Finance. (1999). Farmer, J..
    In: Working Papers.
    RePEc:wop:safiwp:99-10-073.

    Full description at Econpapers || Download paper

  40. A general methodology to price and hedge derivatives in incomplete markets. (1999). Baviera, R. ; Hammarlid, O. ; Serva, M. ; Aurell, E. ; Vulpiani, A..
    In: Papers.
    RePEc:arx:papers:cond-mat/9810257.

    Full description at Econpapers || Download paper

  41. Self-similar models in risk theory. (1998). Burnecki, Krzysztof.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc9803.

    Full description at Econpapers || Download paper

  42. Option pricing in incomplete discrete markets. (1998). Wolczynska, Grazyna.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:165-179.

    Full description at Econpapers || Download paper

  43. Option Pricing Model for Incomplete Market. (1998). Mikhailov, Sergei ; Fedotov, Sergei.
    In: Papers.
    RePEc:arx:papers:cond-mat/9807397.

    Full description at Econpapers || Download paper

  44. ``String formulation of the Dynamics of the Forward Interest Rate Curve. (1998). Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/9802136.

    Full description at Econpapers || Download paper

  45. Volatility distribution in the S&P500 stock index. (1997). Liu, Yanhui ; Cizeau, Pierre ; Peng, C.-K., ; Meyer, Martin ; Stanley, Eugene H..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:245:y:1997:i:3:p:441-445.

    Full description at Econpapers || Download paper

  46. Correlations in economic time series. (1997). Liu, Yanhui ; Cizeau, Pierre ; Peng, C.-K., ; Meyer, Martin ; Stanley, Eugene H..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:245:y:1997:i:3:p:437-440.

    Full description at Econpapers || Download paper

  47. Scaling behavior in economics: The problem of quantifying company growth. (1997). Salinger, Michael ; Havlin, Shlomo ; Buldyrev, Sergey V ; Maass, Philipp ; Nunes Amaral, Luis A, ; Stanley, Eugene H ; Stanley, Michael H. R, .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:244:y:1997:i:1:p:1-24.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 23:04:59 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.