On the net present value distribution affected by a random walk process

Robert W. Grubbström

International Journal of Production Economics, 2022, vol. 250, issue C

Abstract: In this paper we attempt to derive properties of the distribution of the net present value NPV, when the underlying cash flow is affected by stochastic disturbances in the form of a random walk process, the disturbances thus jumping continuously between each of two values. A leverage is introduced, affecting the size of each jump in relation to time.

Keywords: Net present value; NPV; Random walk; Distribution of NPV (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:proeco:v:250:y:2022:i:c:s0925527322002687

DOI: 10.1016/j.ijpe.2022.108686

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