Resumen

MILANESI, Gastón Silverio. Higher order stochastic moments and the estimation of implied volatility: Application of Edgeworth expansion over the Black-Scholes' model. estud.gerenc. [online]. 2014, vol.30, n.133, pp.336-342. ISSN 0123-5923.

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.

Palabras clave : Implied volatility; Edgeworth expansion; Skewnnes; Kurtosis.

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