Skewness Premium with Lévy Processes

José Fajardo () and Ernesto Mordecki
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Ernesto Mordecki: Centro de Matemática, Facultad de Ciências, Universidad de la República, Uruguay

No 2006-04, IBMEC RJ Economics Discussion Papers from Economics Research Group, IBMEC Business School - Rio de Janeiro

Abstract: We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold. Then, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lévy Process under the risk neutral measure.

Keywords: Skewness Premium; Lévy processes (search for similar items in EconPapers)
JEL-codes: C52 G10 (search for similar items in EconPapers)
Date: 2006-10-24
New Economics Papers: this item is included in nep-ets and nep-fin
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Citations: View citations in EconPapers (4)

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Working Paper: Skewness Premium with Lévy Processes (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ibr:dpaper:2006-04

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