A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*

References

References

• Backus D Foresi S Li K Wu L 1997 Accounting for biases in Black–Scholes Working Paper Stern School of Business 40 pages
   Google Scholar
• Bakshi , G , Cao , C and Chen , Z . 2000 . Do call prices and the underlying stock always move in the same direction? . Review of Financial Studies , 13 : 549 – 84 .
   Web of Science ®Google Scholar
• Baxter M Rennie A 1996 Financial Calculus New York Cambridge University Press pp 233
   Google Scholar
• Black F Scholes M 1973 The pricing of options and corporate liabilities J. Political Economy 637 55
   Google Scholar
• Brenner M Eom Y 1997 No–arbitrage option pricing: new evidence on the validity of the martingale property Working Paper Stern School of Business 35 pages
   Google Scholar
• Brown C Robinson D 1999 Option pricing and higher moments Proc. 10th Annual Asia–Pacific Research Symposium February 36 pages
   Google Scholar
• Brown , C and Robinson , D . 2002 . Skewness and kurtosis implied by option prices: A correction . J. Financial Research , 25 : 279 – 81 .
   Google Scholar
• Capelle–Blancard , G , Jurczenko , E and Maillet , B . 2001 . The approximate option pricing model: performances and dynamic properties . J. Multinational Financial Management , 11 : 427 – 43 .
   Google Scholar
• Corrado , C and Su , T . 1996 . Skewness and kurtosis in S&P 500 index returns implied by option prices . J. Financial Research , 19 : 175 – 92 .
   Google Scholar
• Corrado , C and Su , T . 1997 . Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices . J. Derivatives , 4 : 8 – 19 .
   Google Scholar
• Harrison , J and Kreps , D . 1979 . Martingales and arbitrage in multiperiod securities markets . J. Economic Theory , 20 : 381 – 408 .
   Web of Science ®Google Scholar
• Hull J 2003 Options Futures and Other Derivatives 5th edn Prentice Hall 744 pages
   Google Scholar
• Jarrow , R and Rudd , A . 1982 . Approximate option valuation for arbitrary stochastic processes . J. Financial Economics , 10 : 347 – 69 .
   Web of Science ®Google Scholar
• Jondeau , E and Rockinger , M . 2001 . Estimating Gram–Charlier expansions with positivity constraints . J. Economic Dynamics and Control , 25 : 1457 – 83 .
   Web of Science ®Google Scholar
• Jurczenko E Maillet B Négrea B 2002a Skewness and kurtosis implied by option prices: a second comment Discussion Paper of the LSE-FMG no 419 July 32 pages
   Google Scholar
• Jurczenko E Maillet B Négrea B 2002b Revisited multi-moment approximate option pricing models: a general comparison (Part I) Discussion Paper of the LSE-FMG no 430 November 84 pages
   Google Scholar
• Kochard L 1999 Option pricing and higher order moments of the risk-neutral probability density function Unpublished Manuscript, University of Virginia January 182 pages
   Google Scholar
• Longstaff , F . 1995 . Option pricing and the martingale restriction . Review of Financial Studies , 8 : 1091 – 124 .
   Web of Science ®Google Scholar
• Navatte , P and Villa , C . 2000 . The information content of implied volatility, skewness and kurtosis: empirical evidence from long-term CAC40 options . European Financial Management , 6 : 41 – 56 .
   Google Scholar
• Silverman B 1986 Density Estimation (Chapman and Hall Applied Probability Series #26) 152 pages
   Google Scholar
• Vähämaa , S . 2003 . Skewness and kurtosis adjusted Black–Scholes model: a note on hedging performance . Finance Letter , 1 : 6 – 12 .
   Google Scholar