Skewness and Kurtosis Implied by Option Prices : A Correction

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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Year of publication:	[2001]
Authors:	Brown, Christine A.
Other Persons:	Robinson, David M. (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: The Journal of Financial Research, Forthcoming Volltext nicht verfügbar
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012787830