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- W3125250496 abstract "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 the error found." @default.
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- W3125250496 date "2001-04-28" @default.
- W3125250496 modified "2023-09-23" @default.
- W3125250496 title "Skewness and Kurtosis Implied by Option Prices: A Correction" @default.
- W3125250496 hasPublicationYear "2001" @default.
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