Skewness and kurtosis implied by option prices: A correction

Christine A. Brown; David M. Robinson

doi:10.1111/1475-6803.t01-1-00008

Skewness and kurtosis implied by option prices: A correction

Christine A. Brown, David M. Robinson

Banking & Finance

Research output: Contribution to journal › Article › Research › peer-review

36 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	279-282
Number of pages	4
Journal	Journal of Financial Research
Volume	25
Issue number	2
DOIs	https://doi.org/10.1111/1475-6803.t01-1-00008
Publication status	Published - 1 Jan 2002

Keywords

G12
G13
G15

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10.1111/1475-6803.t01-1-00008

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abstract = "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.",

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AB - 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.

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Skewness and kurtosis implied by option prices: A correction

Abstract

Keywords

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