...Sol Kim In this paper, we examine whether the risk neutral skewness and kurtosis from S&P 500 options have information for predicting the higher moments of the stock returns called skewness and kurtosis, which contain the important information for forecasting potential crash, spike upward...

... Implied Volatility BS Implied Volatility Risk Preference Skewness Kurtosis © 2009 Emerald Publishing Limited 2009 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article...

...Sol Kim For the KOSPI 200 index options market. we examine the power of influence on pricing options of the skewness and the kurtosis of the risk neutral distribution. We compare the Black and Scholes (1973) model which does not consider the skewness or the kurtosis of the risk neutral distribution...

...Sol Kim This paper investigates the relative importance of the skewness and kurtosis of the risk neutral distribution for pricing KOSPI200 options. The skewness and kurtosis are estimated from non parametric method of Bakshi, Kapadia, and Madan (2003) and the parametric method of Corrado and Su...