Characteristic function of the positive part of a random variable and related results, with applications

DOI10.1016/j.spl.2015.07.031zbMath1397.60043arXiv1309.5928OpenAlexW1638772044MaRDI QIDQ900570

Iosif Pinelis

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.5928

zbMATH Keywords

random walkscharacteristic functionrandom variableSpitzer's identitycall and put optionspositive part

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Positive-part moments via characteristic functions, and more general expressions, Practical Fault-Tolerant Data Aggregation

Cites Work

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