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Solving Asset Pricing Models with Stochastic Dynamic Programming

Author

Listed:
  • Lars Grune
  • Willi Semmler

Abstract

No abstract is available for this item.

Suggested Citation

  • Lars Grune & Willi Semmler, 2003. "Solving Asset Pricing Models with Stochastic Dynamic Programming," Computing in Economics and Finance 2003 54, Society for Computational Economics.
  • Handle: RePEc:sce:scecf3:54
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    Citations

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    Cited by:

    1. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
    2. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 267-281, May.
    3. 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.
    4. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.

    More about this item

    Keywords

    dynamic programming; adaptive grid; stochastic growth;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • G0 - Financial Economics - - General
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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