This method explicitly allows for excess skewness and kurtosis in an expanded Black-Scholes option pricing formula.
The approach adapts a Gram-Charlier series expansions of the standard normal density function to yield an option price formula that is the sum of a Black–Scholes option price plus adjustment terms for nonnormal skewness and kurtosis (Corrado and Su, 1997).
For skewness = 0 and kurtosis = 3, the Corrado-Su option prices are equal to the prices obtained using the Black and Scholes (1973) model.
Corrado, C.J., and Su T. Skewness and kurtosis in S&P 500 Index returns implied by option prices. Financial Research 19:175–92, 1996.
Corrado, C.J., and Su T. Implied volatility skews and stock return skewness and kurtosis implied by stock option prices. European Journal of Finance 3:73–85, 1997.
Hull, J.C., "Options, Futures, and Other Derivatives", Prentice Hall, 5th edition, 2003.
Luenberger, D.G., "Investment Science", Oxford Press, 1998.