Skewness Premium with Lévy Processes

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dc.creatorFajardo, José
dc.creatorMordecki, Ernesto
dc.date2008-10-24
dc.date.accessioned2026-07-07T10:13:04Z
dc.date.available2026-07-07T10:13:04Z
dc.descriptionWe study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is given by the Bate's $x%$ rule. In this paper we study SK under the absence of that symmetry condition. More exactly, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lévy Process under the risk neutral measure.
dc.description17 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/0810.4485
dc.identifierhttp://arxiv.org/abs/0810.4485
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/172400
dc.subjectProbability
dc.subject91B28;60G51
dc.titleSkewness Premium with Lévy Processes
dc.typetext

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