Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

DOI10.2307/2938261zbMath0735.90012OpenAlexW1978083110MaRDI QIDQ3971628

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938261

zbMATH Keywords

numerical integration asset pricing risk premiums nonlinear rational expectations models numerical quadrature rules discrete state space solution method stochastic intertemporal models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

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