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http://hdl.handle.net/10419/22183
  
Title:Skewness and Kurtosis Trades PDF Logo
Authors:Härdle, Wolfgang Karl
Blaskowitz, Oliver J.
Schmidt, Peter
Issue Date:2004
Series/Report no.:Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,09
Abstract: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.
Document Type:Working Paper
Appears in Collections:Papers, CASE - Center for Applied Statistics and Economics, HU Berlin

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