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Skewness and Kurtosis Implied by Option Prices: A Correction
Author(s) -
Brown Christine A.,
Robinson David M.
Publication year - 2002
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/1475-6803.t01-1-00008
Subject(s) - kurtosis , skewness , econometrics , mathematics , black–scholes model , economics , statistics , volatility (finance)
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.