期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2007
卷号：1
期号：2
页码：1-24
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call optionsbased on nonparametric estimation of returns. Densities are estimated using kernel estimation onrandom samples of a Laplace and mixture of normal distributions. Additionally, an exponential-a.neform of the stochastic discount factor allows derivation of closed-form solutions for option prices.Results of the closed form calculations are compared with those calculated using the nonparametricapproach. Both are compared to the Black-Scholes formula. Using the Laplace and mixed Gaussiandistribution, the nonparametric estimation shows evidence of mispricing by the Black-Scholes mo del.This technique requires no assumption regarding the form of return distributions
关键词：Derivative pricing; European options; nonparametric kernel estimation; Laplace distribu-tion; leptokurtic; mixture of normal distributions; nonparametric pricing; stochastic discount factor
