Carr Peter, Cirillo Pasquale
Finance and Risk Engineering Department, New York University, New York, NY, USA.
ZHAW School of Management and Law, Institute of Business Information Technology, Winterthur, Switzerland.
R Soc Open Sci. 2024 Apr 10;11(4):231690. doi: 10.1098/rsos.231690. eCollection 2024 Apr.
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.
我们通过使用伪和的概念探索连续随机变量无记忆性的一种扩展。随后，我们通过两个金融应用展示了这种方法的实用性，其中伪和刻画了无套利或有债权的价值。此外，我们能够在不同概率分布之间建立新的有趣联系。
