Stable laws and the present value of fixed cash-flows

Abstract: In the current contribution, we consider the present value of a series of fixedcash flows under stochastic interest rates. In order to model these interestrates, we don't use the common lognormal model, but stable laws, which betterfit in with reality. For this present value, we want to derive a result aboutthe distribution function. However, due to the dependencies between successivediscounted payments, the calculation of an exact analytical distributionfor the present value is...