Article citationsMore>>

Cassidy, D.T., Hamp, M.J. and Ouyed, R. (2013) Student’s t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae.
https://doi.org/10.1080/14697688.2012.744087

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.