Skewness and kurtosis implied by option prices: A correction

Christine A. Brown, David M. Robinson

Research output: Contribution to journalArticleResearchpeer-review

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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 languageEnglish
Pages (from-to)279-282
Number of pages4
JournalJournal of Financial Research
Issue number2
Publication statusPublished - 1 Jan 2002


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  • G15

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