Moment bounds for truncated random variables

Guoqing Liu and Wenbo V. Li

Statistics & Probability Letters, 2009, vol. 79, issue 18, 1951-1956

Abstract: Given any random variable X[set membership, variant][0,M] with and fixed, various bounds are derived on the mean and variance of the truncated random variable max(0,X-K) with K>0 given. The results are motivated by questions associated with European call options. The techniques are based on domination by quadratic functions and change of measures in the unimodal distribution case.

Date: 2009
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