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 symmetry condition Fajardo and Mordecki (2006) have obtained that SK is given by the Bate's x% rule. In this paper, we study SK under the absence of that symmetry condition. More...
