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  • Search: subject:"Endowment model"
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Endowment model 1 closed-form solution 1 price-dividend ratio 1
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de Groot, Oliver 1
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Federal Reserve Board (Board of Governors of the Federal Reserve System) 1
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Finance and Economics Discussion Series 1
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Solving asset pricing models with stochastic volatility
de Groot, Oliver - Federal Reserve Board (Board of Governors of the … - 2014
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.
Persistent link: https://www.econbiz.de/10010937975
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