This paper extends previous results by Peccati  and Beccacece  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.
|Titolo:||On the decomposition of stochastic discounted cash flows|
|Data di pubblicazione:||1991|
|Appare nelle tipologie:||2.1 Articolo su rivista |