What is the time value of a stream of investments?

DOI10.1239/JAP/1127322033zbMath1122.91037OpenAlexW2153776088MaRDI QIDQ3367754

Mogens Steffensen, Ragnar Norberg

Publication date: 26 January 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1127322033

zbMATH Keywords

discountingcash flowstochastic exponentialcompounding asset

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

An axiomatic approach to the valuation of cash flows ⋮ Statistical causality, optional and predictable projections ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA

Cites Work

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• Power tailed ruin probabilities in the presence of risky investments.
• Risk theory in a stochastic economic environment
• Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

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