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Cassidy, D.T., Hamp, M.J. and Ouyed, R. (2010) Pricing European Options with a Log Student’s t-Distribution: A Gosset Formula. Physica A, 389, 5736-5748.
https://doi.org/10.1016/j.physa.2010.08.037

has been cited by the following article:

• TITLE: Risk-Neutral Pricing of European Call Options: A Specious Concept

  AUTHORS: Daniel T. Cassidy

  KEYWORDS: Risk-Neutral Pricing, European Call Options, Girsanov’s Theorem, Specious

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.2, May 9, 2018

  ABSTRACT: Risk-neutral pricing of European call options is investigated from a mathematical point-of-view and is found to be a specious concept1. Risk-neutral pricing of European call options is an approximation in which all terms of order are ignored, where is the risk premium and σ is the volatility.