Brown, Christine A.; Robinson, David M. - In: Journal of Financial Research 25 (2002) 2, pp. 279-282
Corrado and Su (1996) provide skewness and kurtosis adjustment terms for the Black-Scholes model, using a Gram-Charlier expansion of the normal density function. In this note we provide a correction to the expression for the skewness coefficient and illustrate the effect on call option prices of...