For S&P 500 options, we examine the relative influence of the skewness and kurtosis of the risk-neutraldistribution 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.
Keywords: Volatility Smiles; Options Pricing; Risk-neutral Distribution; Skewness; Kurtosis
학회소식
공지사항
[2015년 제 2차] Skewness vs. Kurtosis for Pricing and Hedging S&P 5
작성자 : 관리자
조회수 : 810
게시일 :
2015-06-03
첨부파일