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|Title:||A mean-variance bound for a three-piece linear function||Authors:||Natarajan, K.
|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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