This paper extends previous results by Peccati [7] and Beccacece [1] on the decomposition of the discounted cash flow for deterministic financial operations to the stochastic case. Modelling financial operations as processes whose cumulant is a semimartingale, we obtain a very general decomposition formula which allows one to consider even random discount factors. © 1991 Springer-Verlag.

On the decomposition of stochastic discounted cash flows

LI CALZI, Marco
1991

Abstract

This paper extends previous results by Peccati [7] and Beccacece [1] on the decomposition of the discounted cash flow for deterministic financial operations to the stochastic case. Modelling financial operations as processes whose cumulant is a semimartingale, we obtain a very general decomposition formula which allows one to consider even random discount factors. © 1991 Springer-Verlag.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/11393
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