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Cited by 317

The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.

SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES

Corrado, Charles J., Su, Tie·1996·Journal of Financial Research
DOI 10.1111/j.1475-6803.1996.tb00592.x
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Abstract

The Black‐Scholes (1973) model frequently misprices deep‐in‐the‐money and deep‐out‐of‐the‐money options. Practitioners popularly refer to these strike price biases as volatility smiles. In this paper we examine a method to extend the Black‐Scholes model to account for biases induced by nonnormal skewness and kurtosis in stock return distributions. The method adapts a Gram‐Charlier series expansion of the normal density function to provide skewness and kurtosis adjustment terms for the Black‐Scholes formula. Using this method, we estimate option‐implied coefficients of skewness and kurtosis in S&P 500 stock index returns. We find significant nonnormal skewness and kurtosis implied by option prices.

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Crossref · 10.1111/j.1475-6803.1996.tb00592.x

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Metadata

Authors
Corrado, C. J., & Su, T.
Venue
Journal of Financial Research
Publisher
Wiley
Published
1996-06
Volume
19
Issue
2
Pages
175-192
ISSN
  • 0270-2592 (ISSN-L)
  • 1475-6803
DOI
10.1111/j.1475-6803.1996.tb00592.x
OpenAlex
W2080852372
Cited by
317
References
21
FWCI
10.09
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES. https://app.cochat.ai/papers/10.1111/j.1475-6803.1996.tb00592.x
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Corrado, C. J., & Su, T. (1996). SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES. Journal of Financial Research. https://doi.org/10.1111/j.1475-6803.1996.tb00592.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.