Please use this identifier to cite or link to this item: https://doi.org/10.1017/S0269964807000356
Title: A mean-variance bound for a three-piece linear function
Authors: Natarajan, K. 
Linyi, Z.
Issue Date: Oct-2007
Citation: Natarajan, K., Linyi, Z. (2007-10). A mean-variance bound for a three-piece linear function. Probability in the Engineering and Informational Sciences 21 (4) : 611-621. ScholarBank@NUS Repository. https://doi.org/10.1017/S0269964807000356
Abstract: In this article, we derive a tight closed-form upper bound on the expected value of a three-piece linear convex function E[max.(0, X, mX - z)] given the mean μ and the variance σ2 of the random variable X. The bound is an extension of the well-known mean-variance bound for E[max(0, X)]. An application of the bound to price the strangle option in finance is provided. © 2007 Cambridge University Press.
Source Title: Probability in the Engineering and Informational Sciences
URI: http://scholarbank.nus.edu.sg/handle/10635/102677
ISSN: 02699648
DOI: 10.1017/S0269964807000356
Appears in Collections:Staff Publications

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