A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims.
R Soc Open Sci
; 11(4): 231690, 2024 Apr.
Article
en En
| MEDLINE
| ID: mdl-38601030
ABSTRACT
We explore an extension of the memoryless property for continuous random variables by using the concept of pseudo-sum. Subsequently, we demonstrate the practicality of this approach through two financial applications in which pseudo-sums characterize the values of arbitrage-free contingent claims. Moreover, we are able to establish new interesting connections between different probability distributions.
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1
Colección:
01-internacional
Base de datos:
MEDLINE
Idioma:
En
Revista:
R Soc Open Sci
Año:
2024
Tipo del documento:
Article
País de afiliación:
Estados Unidos