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

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  • Grubbström, Robert W.

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.

Suggested Citation

  • Grubbström, Robert W., 2022. "On the net present value distribution affected by a random walk process," International Journal of Production Economics, Elsevier, vol. 250(C).
    • Handle: RePEc:eee:proeco:v:250:y:2022:i:c:s0925527322002687
    DOI: 10.1016/j.ijpe.2022.108686
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    References listed on IDEAS

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    4. Stefan Creemers, 2018. "Moments and distribution of the net present value of a serial project," Post-Print hal-01914841, HAL.
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