%0 Journal Article 
%T Momentos estocásticos de orden superior y la estimación de la volatilidad implícita : Aplicación de la expación de Edgeworth en el modelo Black-Scholes.
%D 2014
%@ 01235923
%U http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1886
%X 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
%K Facultad de Ciencias Administrativas y Económicas
%K Producción intelectual registrada - Universidad Icesi
%K Asimetría de información
%K Volatilidad
%K Implied volatility
%K Edgeworth expansion
%~ GOEDOC, SUB GOETTINGEN