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Variance Bounds for Functions of Unimodal Random Variable.

Authors :
Liu, Guoqing
Li, Wenbo V.
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

Subjects :
*OPTIONS (Finance)

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