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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
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.07.031

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