Parametric properties of semi-nonparametric distributions, with applications top option valuation

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). Weshow that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financialderivatives valuation. We relate real and risk-neutral measures, obtain closed-form prices forEuropean options, and analyse the semiparametric properties of our pricing model...

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Authors:	León, Ángel ; Mencía, Javier ; Sentana, Enrique
Institutions:	Banco de España <Madrid>
Published in:	Banco de España - Publicaciones Documentos de Trabajo ; N.º 0707 (2007)
Subject:	Öffentliche Verwaltung \| public administration \| Kurtosis \| Dichte <Stochastik>

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Extent:	1024 bytes 60 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	C16 - Specific Distributions ; G13 - Contingent Pricing; Futures Pricing ; Corporate finance and investment policy. Other aspects ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Reports, Studies ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005860922