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Moment bounds for truncated random variables

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Author Info
Liu, Guoqing
Li, Wenbo V.
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.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 79 (2009)
Issue (Month): 18 (September)
Pages: 1951-1956
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Handle: RePEc:eee:stapro:v:79:y:2009:i:18:p:1951-1956

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