Τίτλος:
A stochastic integral arising in discounting continuous cash flows and
certain transformed characteristic functions
Γλώσσες Τεκμηρίου:
Αγγλικά
Περίληψη:
Transformed characteristic functions are universally recognized as the
most powerful tools for investigating distribution functions of
complicated stochastic models. The paper is mainly devoted to the
establishment of properties End applications of a particular convolution
model. More precisely, the paper derives the characteristic function of
a convolution model based on a stochastic integral and provides
applications of this model in discounting continuous cash flows. (C)
2000 Elsevier Science Ltd. All rights reserved.
Συγγραφείς:
Artikis, T
Voudouri, A
Περιοδικό:
Applied Mathematics Letters
Εκδότης:
PERGAMON-ELSEVIER SCIENCE LTD
Λέξεις-κλειδιά:
stochastic integral; transformed characteristic function; discounting
DOI:
10.1016/S0893-9659(99)00214-1
