Closed Form Solutions in Asset Pricing
115 Pages Posted: 15 Jun 2014
Date Written: June 13, 2014
This survey summarizes the famous closed form solutions to asset pricing models in both discrete and continuous time. This note considers many different stochastic processes for consumption growth: log-normal, Markov Chain, jumps (disasters), AR-1, AR-p, GBM, OU, Ito with jumps. Many different types of preferences are also studied: Risk Neutral, CRRA, Habit, Epstein-Zin.
Keywords: Asset Pricing, Disasters, Habits, Finance
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