Skewness term-structure tests

DOI10.1080/1350486X.2017.1310624MaRDI QIDQ4585687zbMATH OpenFDO

Authors Thorsten Lehnert, Yuehao Lin

Publication date 6 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2017.1310624

zbMATH Keywords

asset pricingcentral momentsoption marketsrisk aversionrisk compensationskewness term-structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An Intertemporal Capital Asset Pricing Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(2)

• Option implied VIX, skew and kurtosis term structures
• Short Option Maturity Term Structures of Skewness and Excess Kurtosis*

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