Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
推导了Gallant和Nychka(1987)提出的半非参数(SNP)密度的统计性质，证明其比截断Gram-Charlier展开更灵活，并将其用于欧式期权定价，通过S&P500指数期权数据与Black-Scholes等模型进行了比较。
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 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 analyse 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 Generalised Beta and Variance Gamma models