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L. Moriconi, “Delta Hedged Option Valuation with Underlying Non-Gaussian Returns,” Physica A, Vol. 380, No. 1, 2007, pp. 343-350. doi:10.1016/j.physa.2007.01.018
has been cited by the following article:
TITLE: Effective Truncation of a Student’s t-Distribution by Truncation of the Chi Distribution in a Chi-Normal Mixture
AUTHORS: Daniel T. Cassidy
KEYWORDS: Asset Pricing; Student’s t-Distribution; Cauchy; Truncation; Moments; Kurtosis
JOURNAL NAME: Open Journal of Statistics, Vol.2 No.5, December 19, 2012
ABSTRACT: A Student’s t-distribution is obtained from a weighted average over the standard deviation of a normal distribution, σ, when 1/σ is distributed as chi. Left truncation at q of the chi distribution in the mixing integral leads to an effectively truncated Student’s t-distribution with tails that decay as exp (-q2t2). The effect of truncation of the chi distribution in a chi-normal mixture is investigated and expressions for the pdf, the variance, and the kurtosis of the t-like distribution that arises from the mixture of a left-truncated chi and a normal distribution are given for selected degrees of freedom 5. This work has value in pricing financial assets, in understanding the Student’s t--distribution, in statistical inference, and in analysis of data.
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