Skewness Premium with Lévy Processes

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold. Then, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lévy Process under the risk neutral measure.

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Year of publication:	2006-10-24
Authors:	Fajardo, José ; Mordecki, Ernesto
Institutions:	IBMEC Business School - Rio de Janeiro
Subject:	Skewness Premium \| Lévy processes

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Extent:	application/pdf
Series:	IBMEC RJ Economics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2006-04
Classification:	C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005551020