Bibliographic Details
| Title: |
A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims |
| Authors: |
Peter Carr, Pasquale Cirillo |
| Source: |
Royal Society Open Science, Vol 11, Iss 4 (2024) |
| Publisher Information: |
The Royal Society, 2024. |
| Publication Year: |
2024 |
| Collection: |
LCC:Science |
| Subject Terms: |
memoryless property, pseudo-analysis, pseudo-sum, distribution theory, contingent claim, Science |
| Description: |
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. |
| Document Type: |
article |
| File Description: |
electronic resource |
| Language: |
English |
| ISSN: |
2054-5703 |
| Relation: |
https://doaj.org/toc/2054-5703 |
| DOI: |
10.1098/rsos.231690 |
| Access URL: |
https://doaj.org/article/c2157263b006460887b2c61f3f45e6c2 |
| Accession Number: |
edsdoj.2157263b006460887b2c61f3f45e6c2 |
| Database: |
Directory of Open Access Journals |