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He, X.J. and Chen, W. (2021) A Closed-Form Pricing Formula for European Options under a New Stochastic Volatility Model with a Stochastic Long-Term Mean. Mathematics and Financial Economics, 15, 381-396.
https://doi.org/10.1007/s11579-020-00281-y

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.