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: price-dividend ratio; closed-form solution; Endowment model;

JEL Classification: C62; C61; G12;

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File(s): File format is application/pdf http://www.federalreserve.gov/econresdata/feds/2014/files/201471pap.pdf
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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