Fajardo, José; Mordecki, Ernesto - School of Economics and Management, University of Aarhus - 2009
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a …
CREATES Research Paper 2009-10
Skewness Premium with Lévy Processes
José Fajardo and Ernesto Mordecki … Conditional Factor Models
2009-10: José Fajardo and Ernesto Mordecki: Skewness Premium with Lévy
Processes
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