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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel / Maillet, Bertrand / Negrea, Bogdan
derivatives / option pricingResource overview

Skewness and kurtosis implied by option prices: a second comment

Paper2002

by Jurczenko, Emmanuel, Maillet, Bertrand, Negrea, Bogdan

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derivativesoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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