search query: @indexterm CASH FLOW / total: 488
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| Author: | Giacotto, C. |
| Title: | Compounding and discounting with stochastic interest rate |
| Journal: | Journal of Business Finance and Accounting
1989 : WINTER, VOL. 16:5, p.745-769 |
| Index terms: | DISCOUNTED CASH FLOW INTEREST RATES RATE OF RETURN CASH FLOW STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | The problem of compounding and discounting of cash flows is analyzed in the context of randomly varying interest rates, or rates of return. The mean and variance of the future value for a single cash flow and sequences of flows are derived first under the assumption that rates of return are identically and independently distributed, and second given that returns follow a mean-reverting process. Similar results are obtained for discounting problems. |
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