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Solving Asset Pricing Models with Stochastic Dynamic Programming

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  • Lars Grune
  • Willi Semmler

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 54.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:54

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Web page: http://comp-econ.org/
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Related research

Keywords: dynamic programming; adaptive grid; stochastic growth;

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Cited by:
  1. Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
  2. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Society for Computational Economics, vol. 29(3), pages 233-265, May.
  3. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
  4. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Society for Computational Economics, vol. 29(3), pages 267-281, May.

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