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Skewness and Kurtosis Implied by Option Prices: A Correction
68
Citations
4
References
2002
Year
Option PricingEconomicsFinancial EconomicsAsset PricingBlack-scholes ModelKurtosis Adjustment TermsKurtosis ImpliedNormal Density FunctionDerivative PricingBusinessEconomic AnalysisEconometricsSkewness CoefficientStatisticsFinance
Abstract Corrado and Su (1996) provide skewness and kurtosis adjustment terms for the Black‐Scholes model, using a Gram‐Charlier expansion of the normal density function. In this note we provide a correction to the expression for the skewness coefficient and illustrate the effect on call option prices of the error found.
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