Skewness Versus Kurtosis: Implications for Pricing and Hedging Options
Author:
Affiliation:
1. College of Business; Hankuk University of Foreign Studies; Republic of Korea
2. NH Finance Research Institute; Republic of Korea
3. Department of Finance; Hallym University; Republic of Korea
Funder
Ministry of Education
National Research Foundation of Korea
Hankuk University of Foreign Studies
Publisher
Wiley
Subject
Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/ajfs.12200/fullpdf
Reference14 articles.
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3. Bliss , R. R. N. Panigirtzoglou 2000 Testing the stability of implied probability density functions Bank of England London
4. Bliss , R. R. N. Panigirtzoglou 2002 Option-implied risk aversion estimates: Robustness and patterns Federal Reserve Bank of Chicago Chicago
5. Optimal positioning in derivative securities;Carr;Quantitative Finance,2001
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