A stochastic integral arising in discounting continuous cash flows and certain transformed characteristic functions |
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| Affiliation: | Department of Statistics and Insurance Science, University of Piraeus 80 Karaoli and Dimitriou Street, 185 34 Piraeus, Greece;Pedagogical Department, University of Athens 20 Hippocratous Street, 106 80 Athens, Greece |
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| Abstract: | Transformed characteristic functions are universally recognized as the most powerful tools for investigating distribution functions of complicated stochastic models. The paper is mainly devoted to the establishment of properties and applications of a particular convolution model. More precisely, the paper derives the characteristic function of a convolution model based on a stochastic integral and provides applications of this model in discounting continuous cash flows. |
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