TY - JOUR
TI - ANALYTICAL AND COMPUTER-SIMULATION TECHNIQUES FOR A STOCHASTIC-MODEL
ARISING IN DISCOUNTING CONTINUOUS UNIFORM CASH FLOWS
AU - ARTIKIS, T
AU - VOUDOURI, A
AU - JERWOOD, D
JO - MATHEMATICAL AND COMPUTER MODELLING
PY - 1993
VL - 18
TODO - 9
SP - 9-16
PB - PERGAMON-ELSEVIER SCIENCE LTD
SN - 0895-7177
TODO - 10.1016/0895-7177(93)90139-P
TODO - PRESENT VALUE; CONTINUOUS UNIFORM CASH FLOW; UNIMODALITY; FINANCE
TODO - Present-value models axe currently available for both single cash flows
and continuous uniform cash flows under uncertain timing. Recent work by
the authors has concentrated mainly on establishing theoretical results
concerning the conditions under which unimodality will be introduced
into the present-value distribution, particularly under exponential
timing. Apart from the conventional (0) unimodality, there are two other
forms of unimodality available which refer more to the nature of the
unimodal behaviour rather than its location.
When the timing mechanism operating for a continuous uniform cash flow
is modelled by a geometrically distributed sum of exponential
inter-assessment times, this paper establishes that the present-value
distribution adopts a form of unimodality which is conceptually and
structurally distinct from that form of unimodality adopted within the
single cash flow analogue. Each present-value distribution will
therefore become (0) unimodal under different prevailing economic
conditions. One financial implication of these results is that it should
be possible to develop coherent funding strategies for selecting a
single cash flow option or a continuous uniform cash flow option having
due regard to the current financial climate.
ER -