For the KOSPI 200 index options market. we examine the power of influence on pricing options of the skewness and the kurtosis of the risk neutral distribution. We compare the Black and Scholes (1973) model which does not consider the skewness or the kurtosis of the risk neutral distribution with Corrado and sue 1996)’s model which consider both the skewness and the kurtosis and the models which consider only the skewness or the kurtosis.
It is found that Corrado and sue 1996)‘s model which consider both skewness and kurtosis shows the best performance closely followed by the model which consider only the skewness for tile in-sample pricing and the out-of-sample pricing. As a result. it contributes to pricing options to consider both skewness and kurtosis and the skewness is more important factor for pricing options than the kurtosis.
Kim, S. (2008), "Skewness of Kurtosis?: Using Corrado and Su (1996)‘s Model", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 16 No. 1, pp. 1-20. https://doi.org/10.1108/JDQS-01-2008-B0001
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