Finance and Economics Discussion Series (FEDS)

Twitter Share RSS

September 2014

Solving asset pricing models with stochastic volatility

Oliver de Groot

Abstract:

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form.

Accessible version (.zip)

Keywords: Endowment model, price-dividend ratio, closed-form solution

PDF: Full Paper

Back to Top
Last Update: June 26, 2020