Skewness and Kurtosis Implied by Option Prices: A Correction
Posted: 28 Apr 2001
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: Suggested Citation