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Citations for "Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices"

by Corrado, Charles J & Su, Tie

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  1. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
  2. Rubio Irigoyen, Gonzalo & León, Angel, 2003. "Smiling under stochastic volatility," DFAEII Working Papers 2002-02, University of the Basque Country - Department of Foundations of Economic Analysis II.
  3. Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
  4. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI.
  5. Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000. "Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance," Working Papers. Serie AD 2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 198-230.
  7. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA.
  8. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
  9. C. J. Corrado & Tie Su, 1997. "Implied volatility skews and stock return skewness and kurtosis implied by stock option prices," European Journal of Finance, Taylor and Francis Journals, vol. 3(1), pages 73-85.
  10. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  11. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options," Working Papers 2010-16, Faculty of Economic Sciences, University of Warsaw.
  12. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identi cation of the Dynamics of a N-Dimensional Market," Working Papers 2012/21, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon..
  13. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 335-365, September.
  14. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  15. Saurabha, Rritu & Tiwari, Manvendra, 2007. "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper 6329, University Library of Munich, Germany.
  16. Marie Brière & Kamal Chancari, 2004. "Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies," Revue d'économie politique, Dalloz, vol. 0(4), pages 527-555.
  17. X. Henry Wang & Carmen F. Menezes, 2004. "Increasing Outer Risk," Working Papers 0413, Department of Economics, University of Missouri, revised 23 Dec 2004.
  18. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 195-202.
  19. Williamson, Brendon & Villano, Renato A. & Fleming, Euan M., 2008. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5992, Australian Agricultural and Resource Economics Society.
  20. Nagarajan, Thirukumaran & Malipeddi, Koteswararao, 2009. "Effects of market sentiment in index option pricing: a study of CNX NIFTY index option," MPRA Paper 17943, University Library of Munich, Germany.
  21. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, School of Economics and Management, University of Aarhus.
  22. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  23. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Midquotes or Transactional Data? The Comparison of Black Model on HF Data," Working Papers 2010-15, Faculty of Economic Sciences, University of Warsaw.
  24. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.).
  25. León, Angel & Serna, Gregorio & Rubio Irigoyen, Gonzalo, 2004. "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers 2002-06, University of the Basque Country - Department of Foundations of Economic Analysis II.
  26. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
  27. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
  28. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239.