Modeling a Random Cash Flow of an Asset with a Semi-Markovian Model

被引：0
|
作者：
Adekambi, Franck [1 ]
机构：
[1] Univ Johannesburg, Sch Econ, Johannesburg, South Africa
来源：
DATA-DRIVEN MODELING FOR SUSTAINABLE ENGINEERING, ICEASSM 2017 | 2020年 / 72卷
关键词：
D O I：
10.1007/978-3-030-13697-0_8
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In this paper, we use a semi-Markovian model to compute the conditional higher moments of any order of the present value of cash flows generated by an investment, taking into account the state of the market. With the force of interest following a stochastic process, we give an example to illustrate our results.
引用
收藏
页码：99 / 118
页数：20
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