Variance Bounds for Functions of Unimodal Random Variable

Guoqing Liu and Wenbo V. Li

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 14, 4765-4772

Abstract: For unimodal random variable S with fixed moments E Si=mi(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.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2012.718842 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:52:y:2023:i:14:p:4765-4772

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2012.718842

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().