Takino, Kazuhiro2018-07-112018-07-112018-02Theoretical Economics Letters, 2018, 8, 514-5232162-2086https://doi.org/10.4236/tel.2018.83036http://hdl.handle.net/123456789/1786In this study, we propose an equilibrium pricing rule to capture a characteristic observed in the practical option market. The market has observed that the implied volatility derived from the Black-Scholes formula is monotonically decreasing with the strike price for the option, that is, it exhibits volatility skewness. Here, we construct a pricing method for the so-called economic premium principle. That is, we identify a pricing kernel from which we can evaluate the derivative from the market equilibrium. Our model demonstrates how to obtain a pricing kernel that satisfies the market equilibrium, and describes our equilibrium formula depicting the volatility skewness.enEquilibrium PricingPricing KernelSkewnessArticle