Solving Asset Pricing Models when the Price-Dividend Function Is Analytic

DOI10.1111/j.1468-0262.2005.00600.xzbMath1152.91490OpenAlexW2134348909MaRDI QIDQ5393903

Yu Chen, Ovidiu Calin, A. Alexandrou Himonas, Thomas F. Cosimano

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2005.00600.x

zbMATH Keywords

asset pricinganalyticitynumerical analysissolving

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Power series (including lacunary series) in one complex variable (30B10)

Related Items (7)

Solving asset pricing models with stochastic volatility ⋮ Continuous time one-dimensional asset-pricing models with analytic price-dividend functions ⋮ Analytic solving of asset pricing models: the by force of habit case ⋮ The heat kernel for Kolmogorov type operators and its applications ⋮ Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks ⋮ Solving Euler equations via two-stage nonparametric penalized splines ⋮ Stability of equilibrium asset pricing models: a necessary and sufficient condition

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