Publication type: Working paper – expertise – study
Title: Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property
Authors: Carr, Peter
Cirillo, Pasquale
et. al: No
DOI: 10.2139/ssrn.4081193
Extent: 18
Issue Date: 2022
Publisher / Ed. Institution: SSRN
Language: English
Subjects: Contingent Claim; Memoryless; Pseudosum
Subject (DDC): 510: Mathematics
Abstract: We provide a generalisation of the loss of memory property using pseudo-analysis. We show how particular pseudo-sums have direct probabilistic interpretations as an arbitrage-free contingent-claim values. As a side result, we also provide new connections among well-known probability distributions.
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Institute of Business Information Technology (IWI)
Appears in collections:Publikationen School of Management and Law

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