Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
From MaRDI portal
Publication:5393903
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
Microeconomic theory (price theory and economic markets) (91B24) Power series (including lacunary series) in one complex variable (30B10)
Related Items
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