SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
- 1 June 1996
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 19 (2) , 175-192
- https://doi.org/10.1111/j.1475-6803.1996.tb00592.x
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- The Pricing of Options on Assets with Stochastic VolatilitiesThe Journal of Finance, 1987
- The valuation of American call options and the expected ex-dividend stock price declineJournal of Financial Economics, 1986
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Approximate option valuation for arbitrary stochastic processesJournal of Financial Economics, 1982
- Further Results on the Constant Elasticity of Variance Call Option Pricing ModelJournal of Financial and Quantitative Analysis, 1982
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- Fact and Fantasy in the Use of OptionsCFA Magazine, 1975
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- The Valuation of Option Contracts and a Test of Market EfficiencyThe Journal of Finance, 1972