Amortization method with stochastic indexation of the outstanding principal
AbstractIn this paper we present a model of a debt's amortization with stochastic indexation of the outstanding principal. We first introduce a stochastic differential equation which allow us to define the inflation and deflation process. Then we use these concepts to present a new method of redemption quota calculation, based on the equality between backward outstanding principal and conditional expectation of the forward outstanding principal. Finally numerical examples illustrate the model.
How to Cite
Cerè, M. (1997). Amortization method with stochastic indexation of the outstanding principal. Statistica, 57(1), 31–42. https://doi.org/10.6092/issn.1973-2201/1047
Copyright (c) 1997 Statistica
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