The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time
对由泊松到达过程产生的离散随机现金流进行估值，现金流大小和到达强度均与状态变量相关，适用于保险合约、企业投资决策和抵押贷款证券定价。
ABSTRACT This paper values a contingent claim to discrete stochastic cash flows generated by a Poisson arrival process with a randomly varying intensity parameter. In the most general case, both the size and the arrival intensity of cash flows may correlate wih state variables in a continuous time economy. Assuming the conditions of an intertemporal capital aset pricing model, solutions for the value of the contingent claim can be found using various techniques. The paper suggests immediate applications to the valuation of insurance contracts, the decision to build a firm with unknown future investment opportunities, and the pricing of mortgage‐backed securities.