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:	2017
Authors:	De Groot, Oliver
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| CAPM \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (18 p)
Series:	FEDS Working Paper ; No. 2014-71
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August, 2014 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014121046