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  • 标题:Parametric properties of semi-nonparametric distributions, with applications to option valuation
  • 本地全文:下载
  • 作者:Ángel León ; Javier Mencía y Enrique Sentana
  • 期刊名称:Documentos de Trabajo / Banco de España
  • 印刷版ISSN:0213-2710
  • 电子版ISSN:1579-8666
  • 出版年度:2007
  • 卷号:1
  • 出版社:Banco de España
  • 摘要:We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation. We relate real and risk-neutral measures, obtain closed-form prices for European options, and analyse the semiparametric properties of our pricing model. In an empirical application to S&P500 index options, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions, and the Generalised Beta and Variance Gamma models.
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