Several studies incorporating estimated volatilities into option pricing formulas have appeared in the literature. However, the models described in these studies tend to perform quite poorly in out-of-sample tests. In particular, significant departures from the observed prices can be seen for...

In many applications, data exhibit skewness and in this paper we present a new family of density functions modeling skewness based on a transformation, analagous to those of location and scale. Here we note that location will always refer to mode. Hence, in order to model data to include shape,...