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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