Solving asset pricing models with stochastic volatility

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form.

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Year of publication:	2014-08-27
Authors:	de Groot, Oliver
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	Endowment model \| price-dividend ratio \| closed-form solution

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Extent:	application/pdf
Series:	Finance and Economics Discussion Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Finance and Economics Discussion Series Number 2014-71 18 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010937975