A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims
P Carr, P Cirillo - Royal Society Open Science, 2024 - royalsocietypublishing.org
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 …
using the concept of pseudo-sum. Subsequently, we demonstrate the practicality of this …
A generalized memoryless property and its use in pricing claims
P Carr, P Cirillo - Available at SSRN 4081193, 2023 - papers.ssrn.com
First, we discuss a possible generalization of the memoryless property for continuous
random variables, exploiting the concept of pseudo-sum. Then we illustrate the usefulness …
random variables, exploiting the concept of pseudo-sum. Then we illustrate the usefulness …
[CITATION][C] Pseudo-sums, contingent claims, and a generalized memoryless property
P Carr, P Cirillo - Pseudo-sums, contingent claims, and a generalized …, 2022 - [Sl]: SSRN