Variance of exp(X) for a gamma variable
Question
Let follow a gamma distribution with shape and scale (equivalently rate ), written . The variance of can be expressed as with integers . Find .
Short answer
. Use the moment generating function : . So , , and .
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- Continuous Random Variables and Probability Density Functions
- Cumulative Distribution Functions
- Derivation — From Binomial Trees to Black-Scholes in the Continuous Limit
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