TY  - JOUR
AB  - 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.
VL  - 16
IS  - 1
SN  - 2713-6647
DO  - 10.1108/JDQS-01-2008-B0001
UR  - https://doi.org/10.1108/JDQS-01-2008-B0001
AU  - Kim Sol
PY  - 2008
Y1  - 2008/01/01
TI  - Skewness of Kurtosis?: Using Corrado and Su (1996)‘s Model
T2  - Journal of Derivatives and Quantitative Studies
PB  - Emerald Publishing Limited
SP  - 1
EP  - 20
Y2  - 2024/04/25
ER  -