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

DOI10.1111/J.1468-0262.2005.00600.XMaRDI QIDQ5393903zbMATH OpenOpenAlexFDO

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

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

analyticityasset pricingnumerical analysissolving

Mathematics Subject Classification ID

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

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(11)

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

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