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- W4256352209 abstract "The titular question is investigated for fairly general semimartingale investment and asset price processes. A discrete-time consideration suggests a stochastic differential equation and an integral expression for the time value in the continuous-time framework. It is shown that the two are equivalent if the jump part of the price process converges. The integral expression, which is the answer to the titular question, is the sum of all investments accumulated with returns on the asset (a stochastic integral) plus a term that accounts for the possible covariation between the two processes. The arbitrage-free price of the time value is the expected value of the sum (i.e. integral) of all investments discounted with the locally risk-free asset." @default.
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- W4256352209 date "2005-09-01" @default.
- W4256352209 modified "2023-09-26" @default.
- W4256352209 title "What is the time value of a stream of investments?" @default.
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- W4256352209 doi "https://doi.org/10.1017/s0021900200000838" @default.
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