Convex upper and lower bounds for present value functions
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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for an n-by-n complex matrix a in a block form with the (possibly) nonzero blocks only on the diagonal above the main one, we consider two other matrices whose nonzero entries are along the diagonal above the main one and consist of the norms or minimum moduli of the diagonal blocks of a. in this paper, we obtain two inequalities relating the numeical radii of these matrices and also determine ...
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ژورنال
عنوان ژورنال: Applied Stochastic Models in Business and Industry
سال: 2001
ISSN: 1524-1904,1526-4025
DOI: 10.1002/asmb.437