Computation of convex bounds for present value functions with random payments
نویسندگان
چکیده
منابع مشابه
Convex Upper and Lower Bounds for Present Value Functions
In this paper we present an efficient methodology for approximating the distribution function of the net present value of a series of cash-flows, when the discounting is presented by a stochastic differential equation as in the Vasicek model and in the Ho-Lee model. Upper and lower bounds in convexity order are obtained. The high accuracy of the method is illustrated for cash-flows for which no...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2006
ISSN: 0377-0427
DOI: 10.1016/j.cam.2005.03.063