Earticle

초록

영어

For S&P 500 options, we examine the relative influence of the skewness and kurtosis of the riskneutral distribution on pricing and hedging performances. Both the nonparametric method suggested by Bakshi, Kapadia and Madan (2003) and the parametric method suggested by Corrado and Su (1996) are used to estimate the risk-neutral skewness and kurtosis. We find that skewness exerts a greater impact on pricing and hedging errors than kurtosis does. The option pricing model that considers skewness shows better performance for pricing and hedging the options than does the model that considers kurtosis. All the results are statistically significant and robust to all sub-periods, which confirms that the risk-neutral skewness is a more important factor than the risk- neutral kurtosis for pricing and hedging stock index options.

목차

Abstract
 Abstract
 1. Introduction
 2. Risk-neutral Skewness and Kurtosis
  2.1. Nonparametric Estimation
  2.2. Parametric Estimation
 3. Data
 4. Empirical Results
  4.1. Implied Volatility Sneer Pattern
  4.2. Skewness and Kurtosis
  4.3. Impact of Skewness and Kurtosis on Pricing and Hedging Errors
  4.4. Pricing and Hedging Options using Skewness and Kurtosis
 5. Conclusion
 References

키워드

저자

• Sol Kim [ Hankuk University of Foreign Studies 270, Imun-dong, Dongdaemun-Gu, Seoul, Korea ]

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간행물

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  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330