Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

被引：46
|
作者：
Leon, Angel [1 ]
Mencia, Javier [2 ]
Sentana, Enrique [3 ]
机构：
[1] Univ Alicante, Dept Econ Financiera, E-03080 Alicante, Spain
[2] Bank Spain, E-28014 Madrid, Spain
[3] CEMFI, E-28014 Madrid, Spain
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2009年 / 27卷 / 02期
关键词：
Density expansions; Gram-Charlier; Kurtosis; Skewness; PERFORMANCE; ESTIMATORS; RETURNS; MOMENTS; PRICES; MODELS;
D O I：
10.1198/jbes.2009.0013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We derive the statistical properties of the semi-nonparametric (SNP) densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation. We relate real and risk-neutral measures, obtain closed-form prices for European options, and analyze the semiparametric properties of our pricing model. In an empirical application to S&P500 index options, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions, and the Generalized Beta and Variance Gamma models.
引用
收藏
页码：176 / 192
页数：17
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