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.
- Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España;Working Papers Homepage.
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More about this item
Keywordsdensity expansions; Gram-Charlier; Kurtosis; S&P index options; skewness;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-29 (All new papers)
- NEP-ECM-2006-01-29 (Econometrics)
- NEP-FIN-2006-01-29 (Finance)
- NEP-FMK-2006-01-29 (Financial Markets)
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