Abstract
Abstract
We show that an estimate by de la Peña, Ibragimov, and Jordan for
${\mathbb{E}}(X-c)^+$
, with c a constant and X a random variable of which the mean, the variance, and
$\mathbb{P}(X \leqslant c)$
are known, implies an estimate by Scarf on the infimum of
${\mathbb{E}}(X \wedge c)$
over the set of positive random variables X with fixed mean and variance. This also shows, as a consequence, that the former estimate implies an estimate by Lo on European option prices.
Publisher
Cambridge University Press (CUP)
Reference11 articles.
1. [11] Scarf, H. (1958). A min–max solution of an inventory problem. In Studies in the Mathematical Theory of Inventory and Production, eds K. J. Arrow, S. Karlin, and H. Scarf. Stanford University Press, pp. 201–209.
2. [10] Pinelis, I. and Molzon, R. (2009). Berry–Esseen bounds for general nonlinear statistics, with applications to Pearson’s and non-central Student’s and Hotelling’s. Preprint, arXiv:0906.0177.
3. Exact Lower Bounds on the Exponential Moments of Truncated Random Variables
4. Semi-parametric upper bounds for option prices and expected payoffs
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献