A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims

A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims

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. M...

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Bibliographic Details
Main Authors: Peter Carr, Pasquale Cirillo
Format: Article
Language:English
Published: The Royal Society 2024-04-01
Series:Royal Society Open Science
Subjects:
memoryless property
pseudo-analysis
pseudo-sum
distribution theory
contingent claim
Online Access:https://royalsocietypublishing.org/doi/10.1098/rsos.231690

Internet

https://royalsocietypublishing.org/doi/10.1098/rsos.231690

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