Closed Form Solutions in Asset Pricing

115 Pages Posted: 15 Jun 2014

See all articles by Albert A. Zevelev

Albert A. Zevelev

City University of New York (CUNY) - Department of Real Estate; University of Pennsylvania - The Wharton School

Date Written: June 13, 2014

Abstract

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

Suggested Citation

Zevelev, Albert A., Closed Form Solutions in Asset Pricing (June 13, 2014). Available at SSRN: https://ssrn.com/abstract=2450372 or http://dx.doi.org/10.2139/ssrn.2450372

Albert A. Zevelev (Contact Author)

City University of New York (CUNY) - Department of Real Estate ( email )

United States

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

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