Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices

Journal of Derivatives

Volumn 4, Issue 4, 1997, Pages 8-19

  Corrado, Charles J ^a   Su, Tie ^b  

^a UNIVERSITY OF MISSOURI   (United States)

^b UNIVERSITY OF MIAMI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85016881681     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407978     Document Type: Article

References (10)

1. Barnne-Adesi, G., and R.E. WhaJey. "The Valuation of American Cali Options and the Expected Ex-Dividend Stock Price Decline." Journal of Financial Economics, 17 (1986), pp. 91-111.
2. Black, F. "Fact and Fantasy in the Use of Options," Financal Analysts Journal, 31 (1975), pp. 36-72.
3. Black, F., and M. Sc holes, "The Pricing of Options and Corporate Liabilities." Journal of Political Economy., 81 (1973), pp. 637-659.
4. Hull, J.C, Options, Futures, ana Other Derivative Securities. Englewood Cliffi, NJ: Prentice-Hall, 1993.
5. Jarrow, R., and A, Rudd, "Approximate Option Valuation for Arbitrary Stochastic Processes," Joumal of Financial Economics, 10 (1982), pp. 347-369.
6. Merton, R.C. "The Theory of Rational Option Pricing." Beli Journal of Economia and Management Science, 4 (1973), pp. 141-183.
7. Natenhurg, S. Option Volatility and Pricing. Chicago: Piobus Publishing, 1994.
8. Rubinstein, M, "Implied Binomial Trees." Journal of Finance, 49 (1994), pp. 771-818.
9. Stuart, A., and j.K. Ord. Kendall's Advanced Theory of Statistics. New York: Oxford University Press, 1987.
10. Whiley, R.E. "Valuation of American Call Options on Dividend Paying Stocks, " Journal óf Financial Economics, 10 (1982), pp. 29-58