Skewness and Kurtosis Implied by Option Prices: A Correction

Posted: 28 Apr 2001

See all articles by Christine A. Brown

Christine A. Brown

Department of Banking and Finance; Financial Research Network (FIRN)

David M. Robinson

University of Queensland - Business School

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.

JEL Classification: G12, G13, G15

Suggested Citation

Brown, Christine A. and Robinson, David M., Skewness and Kurtosis Implied by Option Prices: A Correction. Available at SSRN: https://ssrn.com/abstract=258459

Christine A. Brown (Contact Author)

Department of Banking and Finance ( email )

Building 11E
Clayton, Victoria 3800
Australia
+61 3 99031793 (Phone)
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Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: www.firn.org.au

David M. Robinson

University of Queensland - Business School

Brisbane, Queensland 4072
Australia

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