Skewness and Kurtosis Implied by Option Prices: A Correction

Christine Brown and David M. Robinson

Journal of Financial Research, 2002, vol. 25, issue 2, 279-282

Abstract: Corrado and Su (1996) provide skewness and kurtosis adjustment terms for the Black‐Scholes model, using a Gram‐Charlier expansion of the normal density function. In this note we provide a correction to the expression for the skewness coefficient and illustrate the effect on call option prices of the error found.

Date: 2002
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