全球智库信息集成服务系统(G2TT): DP5435 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP5435
	DP5435 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
	ENRIQUE SENTANA; Javier Mencía; Ángel León
发表日期	2005-12-22
出版年	2005
语种	英语
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 Rockinger (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 the truncated expansions.
主题	Financial Economics
关键词	Kurtosis Density expansions Gram-charlier Skewness S&p index options
URL	https://cepr.org/publications/dp5435
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/534289
推荐引用方式 GB/T 7714	ENRIQUE SENTANA,Javier Mencía,Ángel León. DP5435 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation. 2005.