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.
Autori: | ||
Data di pubblicazione: | 1991 | |
Titolo: | On the decomposition of stochastic discounted cash flows | |
Rivista: | DECISIONS IN ECONOMICS AND FINANCE | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1007/BF02093652 | |
Volume: | 14 | |
Appare nelle tipologie: | 2.1 Articolo su rivista |
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