Skewness Premium with Lévy Processes

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英文文献：Skewness Premium with Lévy Processes
英文文献作者：José Fajardo,Ernesto Mordecki
英文文献摘要：
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) have obtained 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 the excess of SK to be positive or negative, in terms of the characteristic triplet of the Lévy Process under the risk neutral measure.

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