Skewness and kurtosis implied by option prices: A correction

Journal of Financial Research

Volumn 25, Issue 2, 2002, Pages 279-282

  Brown, Christine A ^a   Robinson, David M ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

G12; G13; G15

Indexed keywords

EID: 10944257787     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/1475-6803.t01-1-00008     Document Type: Article

References (4)

1. Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637–59.
2. Corrado, C. J. and T. Su, 1996, Skewness and kurtosis in S&P 500 index returns implied by option prices, Journal of Financial Research 19, 175–92.
3. Jarrow, R. and A. Rudd, 1982, Approximate option valuation for arbitrary stochastic processes, Journal of Financial Economics 10, 347–69.
4. Stuart, A. and J. Ord, 1994, Kendall's Advanced Theory of Statistics, Volume 1, Distribution Theory (Wiley, New York).