is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness …

A new class of option price models is developed and applied to options on the Australian S&P200 Index. The class of … models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and … volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

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 …

We develop a new protocol, adapted from the Eckel and Grossman (2002, 2008) risk measure, to elicit skewness … increasing degrees of positive skewness. We find that our subjects are skewness-seekers. More importantly, positive skewness in …

and the prices of options written on the asset. Implicit posterior densities for the parameters of the volatility model …