ACADSTAFF UGM
| Title | : | The Fifth-Moment Effect in Black-Scholes Model and Its Performance at Market |
| Author | : |
Dr. Abdurakhman (1) |
| Date | : | 10 2019 |
| Keyword | : | Black Scholes, Super skewness, Option Black Scholes, Super skewness, Option |
| Abstract | : | This article investigates the fifth moment (super skewness) adjusted Black-Scholes (BS) model of Corrado and Su (1996). The model in this paper is also inspired by the Gram-Charlier expansion to higher-moments adjustment on the Black-Scholes formula. Meanwhile, the approximation method which is used in this research is Hermite polynomial approach. The prominent finding of this research is that we have a general formula for European call option price using the fifth moment. Besides, based on case studies conducted in this reseacrh, it can be concluded that there is an evidence that super skewness BS model gives smaller error among methods if the log return data have significant fifth moment. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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