Skewness and Kurtosis Implied by Option Prices&colon; 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. Southern Finance Association and the Southwestern Finance Association.

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Year of publication:	2002
Authors:	Brown, Christine A. ; Robinson, David M.
Published in:	Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 25.2002, 2, p. 279-282
Publisher:	Southern Finance Association - SFA Southwestern Finance Association - SWFA

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005261640