왜도와 첨도를 고려한 옵션 가격의 결정

Option Pricing with Skewness and Leptokurtic

The purpose of this study is to derive a European option pricing formula when the rate of return on the underlying asset follows a Gram-Chalier distribution instead of normal. This distribution explains well the volatility smile and furthermore the option prices calculated under the distribution are shown to be closer to the market option prices than that of Black-Scholes model(1973). We estimate the implied parameters of the new pricing formula such as volatility, skewness, and kurtosis, and conduct an in-sample test to verify the fitness of the pricing formula that we propose here.