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Lim, G.C., Martin, G.M. and Martin, V.L. (2006) Pricing Currency Options in the Presence of Time-Varying Volatility and Non-Normalities. Journal of Multinational Financial Management, 16, 291-314.
https://doi.org/10.1016/j.mulfin.2005.08.004

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.