Stable Laws and the Present Value of Fixed Cash Flows
نویسندگان
چکیده
منابع مشابه
Stable laws and the present value of fixed cash-flows
In the current contribution, we consider the present value of a series of fixed cash flows under stochastic interest rates. In order to model these interest rates, we don’t use the common lognormal model, but stable laws, which better fit in with reality. For this present value, we want to derive a result about the distribution function. However, due to the dependencies between successive disco...
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ژورنال
عنوان ژورنال: North American Actuarial Journal
سال: 2003
ISSN: 1092-0277,2325-0453
DOI: 10.1080/10920277.2003.10596116