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Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices

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Cited by:

  1. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
  2. Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il, 2019. "Solution of option pricing equations using orthogonal polynomial expansion," Papers 1912.06533, arXiv.org, revised Jun 2020.
  3. Liexin Cheng & Xue Cheng, 2024. "Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants," Papers 2401.03776, arXiv.org, revised Nov 2024.
  4. Christodoulakis, George A., 2005. "Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis," Finance Research Letters, Elsevier, vol. 2(4), pages 227-233, December.
  5. Menezes, Carmen F. & Wang, X.Henry, 2005. "Increasing outer risk," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 875-886, November.
  6. Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
  7. R. Stafford Johnson & Richard Zuber & John Gandar, 2006. "Binomial pricing of fixed-income securities for increasing and decreasing interest rate cases," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1029-1046.
  8. C. J. Corrado & Tie Su, 1997. "Implied volatility skews and stock return skewness and kurtosis implied by stock option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 73-85, March.
  9. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
  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. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
  12. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
  13. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 335-365, September.
  14. 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.
  15. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi stochastic volatility factor for the LIBOR market model," Finance and Stochastics, Springer, vol. 26(4), pages 771-823, October.
  16. Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024. "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, vol. 77(C).
  17. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  18. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
  19. 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.
  20. Guo, Weiyu, 2004. "Some evidence in the trading and pricing of equity LEAPS," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 407-426.
  21. Bottasso, Anna & Duchêne, Sébastien & Guerci, Eric & Hanaki, Nobuyuki & Noussair, Charles N., 2022. "Higher order risk attitudes of financial experts," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
  22. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
  23. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  24. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
  25. Sol Kim, 2021. "Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1154-1176, July.
  26. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2017. "Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options," Central European Economic Journal, Sciendo, vol. 4(51), pages 18-39, December.
  27. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
  28. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
  29. Kang, Byung Jin & Kim, Tong Suk, 2008. "Empirical risk aversion functions-estimates and assessment of their reliability," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1123-1138, December.
  30. Molina Barreto, Andrés Mauricio & Jiménez Moscoso, José Alfredo, 2014. "Valoración de derivados europeos con mixtura de distribuciones Weibull [Valuation for European derivatives with mixture-Weibull distributions]," MPRA Paper 118572, University Library of Munich, Germany, revised 08 Aug 2014.
  31. Pal, Sumantra, 2018. "How to intervene in foreign exchange market without buying/selling dollars?," EconStor Preprints 181880, ZBW - Leibniz Information Centre for Economics.
  32. Gangadhar Nayak & Subhranshu Sekhar Tripathy & Agbotiname Lucky Imoize & Chun-Ta Li, 2024. "Application of Extended Normal Distribution in Option Price Sensitivities," Mathematics, MDPI, vol. 12(15), pages 1-18, July.
  33. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  34. Igor Halperin, 2020. "Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry," Papers 2011.01417, arXiv.org, revised Dec 2021.
  35. 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.
  36. Damien Ackerer & Damir Filipovic & Sergio Pulido, 2017. "The Jacobi Stochastic Volatility Model," Working Papers hal-01338330, HAL.
  37. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, University Library of Munich, Germany.
  38. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.
  39. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.
  40. Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued, 2017. "Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion," Working Papers hal-01521491, HAL.
  41. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
  42. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  43. Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
  44. Axarloglou, Kostas & Visvikis, Ilias & Zarkos, Stefanos, 2013. "The time dimension and value of flexibility in resource allocation: The case of the maritime industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 35-48.
  45. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
  46. Andrés Mauricio Molina & José Alfredo Jiménez, 2015. "Valoración de derivados europeos con mixtura de distribuciones Weibull," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, March.
  47. Fleming, Euan & Villano, Renato & Williamson, Brendon, 2013. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Australian Water Market," Papers 234295, University of Melbourne, Melbourne School of Land and Environment.
  48. Leon, Angel & Rubio, Gonzalo & Serna, Gregorio, 2005. "Autoregresive conditional volatility, skewness and kurtosis," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 599-618, September.
  49. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, vol. 7(1), pages 2-42.
  50. 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.
  51. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  52. Maciej Wysocki & Robert Ślepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Working Papers 2024-14, Faculty of Economic Sciences, University of Warsaw.
  53. Rodney D. Boehme & Veljko Fotak & Anthony D. May, 2020. "Seasoned Equity Offerings and Stock Price Crash Risk," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(4), pages 131-146, October.
  54. 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.
  55. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
  56. Bodo Herzog & Sufyan Osamah, 2019. "Reverse Engineering of Option Pricing: An AI Application," IJFS, MDPI, vol. 7(4), pages 1-12, November.
  57. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
  58. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  59. 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.
  60. Kräussl, Roman & Lehnert, Thorsten & Senulytė, Sigita, 2016. "Euro crash risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 417-428.
  61. Dias, Fabio S. & Peters, Gareth W., 2021. "Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence," Applied Mathematics and Computation, Elsevier, vol. 411(C).
  62. Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
  63. Engstrom, Malin, 2002. "Do Swedes smile? On implied volatility functions," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 285-304.
  64. Anubha Srivastava & Manjula Shastri, 2020. "A Study of Black–Scholes Model’s Applicability in Indian Capital Markets," Paradigm, , vol. 24(1), pages 73-92, June.
  65. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
  66. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Ching-Ping & Chiu, Chia-Yung, 2014. "Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 59-83.
  67. 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.
  68. 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.
  69. Adamson, Seabron & Noe, Thomas & Parker, Geoffrey, 2010. "Efficiency of financial transmission rights markets in centrally coordinated periodic auctions," Energy Economics, Elsevier, vol. 32(4), pages 771-778, July.
  70. Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
  71. 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.
  72. 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.
  73. Yanhui Shen, 2023. "American Option Pricing using Self-Attention GRU and Shapley Value Interpretation," Papers 2310.12500, arXiv.org.
  74. 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.
  75. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
  76. Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
  77. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
  78. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  79. Narayan, Paresh Kumar & Liu, Ruipeng, 2018. "A new GARCH model with higher moments for stock return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 93-103.
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  81. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
  82. 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).
  83. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
  84. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
  85. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
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  95. 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).
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  104. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
  105. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
  106. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.
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