Valuing the Future and Discounting in Random Environments: A Review

Entropy

Josep Perelló¹  Jaume Masoliver¹  Miquel Montero¹  J. Doyne Farmer²  John Geanakoplos³ 

[1] Departament de Física de la Matèria Condensada, Universitat de Barcelona, 08028 Barcelona, Spain;Institute for New Economic Thinking at the Oxford Martin School, Oxford OX1 3UQ, UK;Santa Fe Institute, Santa Fe, NM 87501, USA;

关键词: discounting;    bond pricing;    real interest rates;    econophysics;   

DOI  :  10.3390/e24040496

来源: DOAJ

【 摘 要 】

We address the process of discounting in random environments, which allows valuation of the future in economic terms. We review several approaches to the problem regarding different well-established stochastic market dynamics in the continuous-time context and include the Feynman–Kac approach. We also review the relation between bond-pricing theory and discounting and introduce both the market price of risk and the risk neutral measure from an intuitive point of view devoid of excessive formalism. We provide the discount for each economic model and discuss their key results. We finally present a summary of our previous empirical studies for several countries on the long-run discount problem.

【 授权许可】

Unknown