Skewness of Kurtosis?: Using Corrado and Su (1996)‘s Model

Sol Kim (KAIST)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 31 May 2008

Abstract

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.

Keywords

Citation

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

Publisher

:

Emerald Publishing Limited

Copyright © 2008 Emerald Publishing Limited

License

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