Skewness Versus Kurtosis: Implications for Pricing and Hedging Options

被引：3

作者：

Kim, Sol ^{[1
]}

Lee, Geul ^{[2
]}

Park, Yuen Jung ^{[3
]}

机构：

[1] Hankuk Univ Foreign Studies, Coll Business, Seoul, South Korea

[2] NH Finance Res Inst, Seoul, South Korea

[3] Hallym Univ, Dept Finance, 1 Hallymdaehak Gil, Chunchon 24252, Gangwondo, South Korea

来源：

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2017年 / 46卷 / 06期

基金：

新加坡国家研究基金会;

关键词：

Volatility smiles; Options pricing; Risk-neutral distribution; Skewness; Kurtosis;

D O I：

10.1111/ajfs.12200

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the relative influence of the skewness and kurtosis of option-implied risk-neutral density on pricing and hedging performance in the S&P 500 Index options market. We find that skewness exerts a greater impact on pricing and hedging errors than kurtosis. The model that considers skewness shows better performance for pricing and hedging options than the model that only considers kurtosis. Our results are consistent, even when the underlying return is extremely high or low, as well as for options on individual stocks. Overall, risk-neutral skewness is more important than risk-neutral kurtosis for pricing and hedging options.

引用

页码：903 / 933

页数：31

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