Mathematics – Probability
Scientific paper
2008-10-24
Mathematics
Probability
17 pages, 2 figures
Scientific paper
We study the skewness premium (SK) introduced by Bates (1991) in a general context using L\'evy 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 L\'evy Process under the risk neutral measure.
Fajardo José
Mordecki Ernesto
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