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~person:"Mencía, Javier"
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density expansions
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skewness
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S&P index options
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Mencía, Javier
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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Ángel
;
Mencía, Javier
;
Sentana, Enrique
-
Banco de España
-
2007
&P500
index
options
, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions …
Persistent link: https://www.econbiz.de/10005155212
Saved in:
2
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION
León, Ángel
;
Mencía, Javier
;
Sentana, Enrique
-
Centro de Estudios Monetarios y Financieros (CEMFI)
-
2005
generate wider option price ranges than the truncated expansions. In an empirical application to S&P 500
index
options
, we find …
Persistent link: https://www.econbiz.de/10005611898
Saved in:
3
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
León, Ángel
;
Mencía, Javier
;
Sentana, Enrique
-
C.E.P.R. Discussion Papers
-
2005
generate wider option price ranges than the truncated expansions. In an empirical application to S&P 500
index
options
, we find …
Persistent link: https://www.econbiz.de/10005114173
Saved in:
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