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Variance Bounds for Functions of Unimodal Random Variable.
- Source :
-
Communications in Statistics: Theory & Methods . 2023, Vol. 52 Issue 14, p4765-4772. 8p. - Publication Year :
- 2023
-
Abstract
- For unimodal random variable S with fixed moments E S i = m i (i = 1 , 2 , ... , n) and mode m, a formula on variance of any functions of S is provided along the line of Khintchine transform. Upper bounds are derived on the variance of European call options and Gap options. The techniques are based on symmetrization, domination by quadratic functions of two variables and change of measures. [ABSTRACT FROM AUTHOR]
- Subjects :
- *OPTIONS (Finance)
Subjects
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 52
- Issue :
- 14
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 163954372
- Full Text :
- https://doi.org/10.1080/03610926.2012.718842