TY  - JOUR 
TI  - Momentos estocásticos de orden superior y la estimación de la volatilidad implícita : Aplicación de la expación de Edgeworth en el modelo Black-Scholes.
PB  - Universidad Icesi
PY  - 2014
issn 01235923
AB  - In this document the Edgeworth expansion is used in the Black-Scholes model for estimating the implicit
volatility and the impact of the higher order stochastic moments on the option price, over Grupo Financiero
Galicia (GGAL) stock options contracts trading in the Buenos Aires Stocks Exchange (Argentina).
First, the underlying probability distribution of returns is analysed; then the model is subject to iteration
to obtain implicit values for volatility, skewnness and kurtosis. The main conclusions are the flat shape
of the volatility curve of the model, and the significant weight of the skewnnes and kurtosisof the «in the
money, out of the money» prices
KW  - Facultad de Ciencias Administrativas y Económicas
KW  - Producción intelectual registrada - Universidad Icesi
KW  - Asimetría de información
KW  - Volatilidad
KW  - Implied volatility
KW  - Edgeworth expansion
UR  - http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1886
ER  -