Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
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Publication:3971628
DOI10.2307/2938261zbMath0735.90012OpenAlexW1978083110MaRDI QIDQ3971628
George Tauchen, Robert M. Hussey
Publication date: 25 June 1992
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938261
numerical integrationasset pricingrisk premiumsnonlinear rational expectations modelsnumerical quadrature rulesdiscrete state space solution methodstochastic intertemporal models
Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)
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