We provide a simple way to visualize the variance and the mean absolute error of a random variable with finite mean. Some application to options theory and to second order stochastic dominance are given: we show, among other, that the "call-put parity" may be seen as a Taylor formula.
Cacciafesta, F. (2011). Visualizing the variance of a random variable. OPEN SYSTEMS & INFORMATION DYNAMICS, 18(1), 71-85 [10.1142/S1230161211000054].
Visualizing the variance of a random variable
CACCIAFESTA, FABRIZIO
2011-01-01
Abstract
We provide a simple way to visualize the variance and the mean absolute error of a random variable with finite mean. Some application to options theory and to second order stochastic dominance are given: we show, among other, that the "call-put parity" may be seen as a Taylor formula.File in questo prodotto:
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