Solving asset pricing models with stochastic volatility

Oliver de Groot

No 2014-71, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Endowment model; price-dividend ratio; closed-form solution (search for similar items in EconPapers)
JEL-codes: C61 C62 G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-08-27
New Economics Papers: this item is included in nep-dge and nep-ore
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http://www.federalreserve.gov/econresdata/feds/2014/files/201471pap.pdf Full text (application/pdf)

Related works:
Journal Article: Solving asset pricing models with stochastic volatility (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2014-71

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