Exact Lower Bounds on the Exponential Moments of Truncated Random Variables

DOI10.1239/jap/1308662643zbMath1230.60018arXiv1001.2901OpenAlexW1993701992MaRDI QIDQ3014991

Iosif Pinelis

Publication date: 8 July 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.2901

zbMATH Keywords

truncationoption pricinglarge deviationsexponential momentsWinsorizationCramér tilt transformexact lower boundsnonuniform Berry-Esseen bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Large deviations (60F10)

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