Characteristic function of the positive part of a random variable and related results, with applications

Iosif Pinelis

Statistics & Probability Letters, 2015, vol. 106, issue C, 281-286

Abstract: Let X be an arbitrary real-valued random variable (r.v.), with the characteristic function (c.f.) f. Integral expressions for the c.f. of the r.v.’s max(0,X) in terms of f are given, as well as other related results. Applications to stock options and random walks are presented. In particular, a more explicit and compact form of Spitzer’s identity is obtained.

Keywords: Characteristic function; Positive part; Random variable; Random walks; Spitzer’s identity; Call and put options (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715215002722
Full text for ScienceDirect subscribers only

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:eee:stapro:v:106:y:2015:i:c:p:281-286

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2015.07.031

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().