Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-30557| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims |
| Authors: | Carr, Peter Cirillo, Pasquale |
| et. al: | No |
| DOI: | 10.1098/rsos.231690 10.21256/zhaw-30557 |
| Published in: | Royal Society Open Science |
| Volume(Issue): | 11 |
| Issue: | 4 |
| Page(s): | 231690 |
| Issue Date: | 10-Apr-2024 |
| Publisher / Ed. Institution: | The Royal Society Publishing |
| ISSN: | 2054-5703 |
| Language: | English |
| Subjects: | Distribution theory; Contingent claim; Pseudo-analysis; Pseudo-sum; Memoryless property; Statistics; Mathematical finance |
| Subject (DDC): | 330: Economics 510: Mathematics |
| 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/30557 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Business Information Technology (IWI) |
| Appears in collections: | Publikationen School of Management and Law |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2024_Carr-Cirillo_Generalization-random-variables-pricing-claims_rsos.pdf | 660.27 kB | Adobe PDF |  View/Open |
Show full item record
Carr, P., & Cirillo, P. (2024). A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. Royal Society Open Science, 11(4), 231690. https://doi.org/10.1098/rsos.231690
Carr, P. and Cirillo, P. (2024) ‘A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims’, Royal Society Open Science, 11(4), p. 231690. Available at: https://doi.org/10.1098/rsos.231690.
P. Carr and P. Cirillo, “A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims,” Royal Society Open Science, vol. 11, no. 4, p. 231690, Apr. 2024, doi: 10.1098/rsos.231690.
CARR, Peter und Pasquale CIRILLO, 2024. A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. Royal Society Open Science. 10 April 2024. Bd. 11, Nr. 4, S. 231690. DOI 10.1098/rsos.231690
Carr, Peter, and Pasquale Cirillo. 2024. “A Pseudo-Analytic Generalization of the Memoryless Property for Continuous Random Variables and Its Use in Pricing Contingent Claims.” Royal Society Open Science 11 (4): 231690. https://doi.org/10.1098/rsos.231690.
Carr, Peter, and Pasquale Cirillo. “A Pseudo-Analytic Generalization of the Memoryless Property for Continuous Random Variables and Its Use in Pricing Contingent Claims.” Royal Society Open Science, vol. 11, no. 4, Apr. 2024, p. 231690, https://doi.org/10.1098/rsos.231690.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.