Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as … volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total … empirical results show that pricing higher order moments yield improvements in the pricing of options over the Black …