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

90

Abstract

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.

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

This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode


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