Skewness Premium with Lévy Processes ∗
نویسندگان
چکیده
We 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.
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