Compounding and Discounting With Stochastic Interest Rates
โ Scribed by Carmelo Giaccotto
- Book ID
- 111105392
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 984 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This paper presents recursive double integral equations to obtain the distribution of the discounted value or accumulated value of deterministic cash #ows. The double integrals have to be evaluated numerically at each iteration. Those distributions are useful when studying the investment risk of por
hen stock index futures are treated as forward contracts, the equilibrium futures price is expected to be above the underlying spot index by an amount determined by the riskless rate of interest. The purpose of this article is to show that the discounts on stock index futures may occur when interest
This research was partly funded by a grant from the Coordinating Council of Business Studies at Rutgers University. We gratefully acknowledge the superb research assistance of Steve Alessandrini, and the comments of two anonymous referees. This paper was presented at the 1990 meeting of the Northern