How is the ORATS Skewalator better than Gram-Charlier or other models that allow adjustment to skewness and kurtosis?
The Skewalator is better than the methods that adjust the skewness and kurtosis of the lognormal probability distribution because we avoid making the assumption that there is a “particular functional relationship between observable variables and statistical parameters such as volatility, skewness and kurtosis.” (Journal of Finance, vol. LI, No. 5, Dec. 1996, p.
