We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) have obtained that SK is given by the Bate's x% rule. In this paper, we study SK under the absence of that symmetry condition. More...

In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).