Working Paper

Solving asset pricing models with stochastic volatility

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;

JEL Classification: C61; C62; G12;

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: Finance and Economics Discussion Series

Publication Date: 2014-08-27

Number: 2014-71

Pages: 18 pages