Resource title

Skewness and Kurtosis Trades

Resource image

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Resource description

In this paper we investigate the profitability of ?skewness trades? and ?kurtosis trades? based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While the implied state price density is estimated by means of the Barle and Cakici Implied Binomial Tree algorithm using a cross section of DAX option prices, the historical density is inferred by a combination of a non?parametric estimation from a historical time series of the DAX index and a forward Monte Carlo simulation.

Resource author

Wolfgang Karl Härdle, Oliver J. Blaskowitz, Peter Schmidt

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22183

Resource license

Adapt according to the presented license agreement and reference the original author.