Parametric properties of semi-nonparametric distributions, with applications to option valuation
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- LeÃ³n, Ã ngel & MencÃa, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
- León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
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More about this item
Keywordskurtosis; density expansions; gram-charlier; skewness; s&p index options;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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