In this paper, we use a semi-Markovian model to compute the conditional higher moments of any order of the present value of cash flows generated by an investment, taking into account the state of the market. With the force of interest following a stochastic process, we give an example to illustrate our results.
CITATION STYLE
Adékambi, F. (2020). Modeling a Random Cash Flow of an Asset with a Semi-Markovian Model. In Lecture Notes in Networks and Systems (Vol. 72, pp. 99–118). Springer. https://doi.org/10.1007/978-3-030-13697-0_8
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