  The distribution of the returns for a stock are not well described by a
normal probability density function (pdf). Student's t-distributions, which
have fat tails, are known to fit the distributions of the returns. We present
pricing of European call or put options using a log Student's t-distribution,
which we call a Gosset approach in honour of W.S. Gosset, the author behind the
nom de plume Student. The approach that we present can be used to price
European options using other distributions and yields the Black-Scholes formula
for returns described by a normal pdf.
