Skewness and Kurtosis Implied by Option Prices: A Correction |
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| Authors: | Christine A Brown David M Robinson |
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| Institution: | The University of Melbourne |
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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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| Keywords: | JEL Classifications: G12 G13 G15 |
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