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文章基本信息

  • 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 ; Enrique Sentana
  • 期刊名称:CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
  • 出版年度:2005
  • 卷号:2005
  • 出版社:Centro de Estudios Monetarios y Financieros, Madrid
  • 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 general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity. We also use the SNP densities for option valuation. We relate real and risk-neutral measures, obtain closed-form prices for European options, and study the “Greeks”. We show that SNP densities generate wider option price ranges than the truncated expansions. In an empirical application to S&P 500 index options, we find that the SNP model beats the standard and Practitioner’s Black-Scholes formulas, and truncated expansions.

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