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European options can be priced when returns follow a Student'st-distribution, provided that the asset is capped in value or the distributionis truncated. We call pricing of options using a log Student's t-distribution aGosset approach, in honour of W.S. Gosset. In this paper, we compare the greeksfor Gosset and Black-Scholes formulae and we discuss implementation. Thet-distribution requires a shape parameter \nu to match the "fat tails" of theobserved returns. For large \nu, the Gosset and Black-Scholes formulae areequivalent. The Gosset formulae removes the requirement that the volatility beknown, and in this sense can be viewed as an extension of the Black-Scholesformula.

Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae