Bounds for present value functions with stochastic interest rates and stochastic volatility
نویسندگان
چکیده
منابع مشابه
Bounds for present value functions with stochastic interest rates and stochastic volatility
The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather complicated, and is known only for special cases. An interesting solution to this difficulty consists ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2002
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(02)00126-9