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Implied volatility skews and stock return skewness and kurtosis implied by stock option prices

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Cited by:

  1. Cappuccio Nunzio & Lubian Diego & Raggi Davide, 2004. "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-31, May.
  2. Markose, Sheri M & Alentorn, Amadeo, 2005. "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers 3726, University of Essex, Department of Economics.
  3. Jondeau, Eric & Rockinger, Michael, 2000. "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
  4. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31, July-Dece.
  5. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  6. Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009. "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 98-112, January.
  7. Ovidiu TURCOANE, 2012. "Option Price Estimations and Speculative Trading In Knowledge Society," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 16(4), pages 131-141.
  8. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
  9. repec:ebl:ecbull:v:30:y:2010:i:1:p:182-191 is not listed on IDEAS
  10. Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2006. "Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 479-490.
  11. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
  12. Damien Ackerer & Damir Filipovic & Sergio Pulido, 2017. "The Jacobi Stochastic Volatility Model," Working Papers hal-01338330, HAL.
  13. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
  14. Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
  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. Capelle-Blancard, G. & Jurczenko, E., 1999. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications 2000.05, Université Panthéon-Sorbonne (Paris 1).
  17. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
  18. Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2017. "Full disclosure and financial stability: how does the market digest the transparency shock?," LIUC Papers in Economics 305, Cattaneo University (LIUC).
  19. Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
  20. Mozumder, Sharif & Dempsey, Michael & Kabir, M. Humayun & Choudhry, Taufiq, 2016. "An improved framework for approximating option prices with application to option portfolio hedging," Economic Modelling, Elsevier, vol. 59(C), pages 285-296.
  21. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
  22. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
  23. Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
  24. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics.
  25. Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
  26. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics 24938, London School of Economics and Political Science, LSE Library.
  27. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007.
  28. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
  29. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
  30. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
  31. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.
  32. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  33. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  34. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
  35. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
  36. Xue, Jian & Ding, Jing & Zhao, Laijun & Zhu, Di & Li, Lei, 2022. "An option pricing model based on a renewable energy price index," Energy, Elsevier, vol. 239(PB).
  37. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
  38. Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
  39. Abderrahmen Aloulou & Younes Boujelbene, 2019. "Dynamic analysis of implied risk neutral density," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(1), pages 39-58.
  40. Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
  41. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.
  42. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).
  43. Frederik Lundtofte, 2010. "Implied volatility and risk aversion in a simple model with uncertain growth," Economics Bulletin, AccessEcon, vol. 30(1), pages 182-191.
  44. Jarno Talponen, 2018. "Matching distributions: Recovery of implied physical densities from option prices," Papers 1803.03996, arXiv.org.
  45. Jianhui Li & Sebastian A. Gehricke & Jin E. Zhang, 2019. "How do US options traders “smirk” on China? Evidence from FXI options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1450-1470, November.
  46. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  47. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  48. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
  49. Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  50. Leonidas S. Rompolis & Elias Tzavalis, 2010. "Risk Premium Effects On Implied Volatility Regressions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 125-151, June.
  51. Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2020. "Communication and financial supervision: How does disclosure affect market stability?," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 1-15.
  52. Amado Peiro, 2002. "Skewness in individual stocks at different investment horizons," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 139-146.
  53. Kangrong Tan & Meifen Chu, 2012. "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 97-107.
  54. Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
  55. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," Documentos de Trabajo de Valor Público 15923, Universidad EAFIT.
  56. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
  57. Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.
  58. Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
  59. Nessim Souissi, 2017. "The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index," Journal of Applied Mathematics, Hindawi, vol. 2017, pages 1-10, June.
  60. Mahdi Doostparast, 2017. "Explicit expressions for European option pricing under a generalized skew normal distribution," Papers 1707.09609, arXiv.org.
  61. Shi-jie Jiang & Mujun Lei & Cheng-Huang Chung, 2018. "An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
  62. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
  63. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
  64. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
  65. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
  66. Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
  67. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
  68. 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.
  69. Sebastiano Vitali & Miloš Kopa & Gabriele Giana, 2023. "Implied volatility smoothing at COVID-19 times," Computational Management Science, Springer, vol. 20(1), pages 1-42, December.
  70. J. A. Jiménez & V. Arunachalam & G. M. Serna, 2015. "Option Pricing Based On A Log–Skew–Normal Mixture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-22, December.
  71. James Primbs & Muruhan Rathinam & Yuji Yamada, 2007. "Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 1-17.
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