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"This methodological paper presents a class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the "linearity-generating" class. Its key property is that it yields simple exact closed-form expressions for stocks and bonds, with an arbitrary number of factors. It operates in discrete and continuous time. It has a number of economic modeling applications. These include macroeconomic situations with changing trend growth rates, or stochastic probability of disaster, asset pricing with stochastic risk premia or stochastic dividend growth rates, and yield curve analysis that allows flexibility and transparency. Many research questions may be addressed more simply and in closed form by using the linearity-generating class"--National Bureau of Economic Research web site.
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Subjects
Assets (Accounting), Mathematical models, PricesShowing 2 featured editions. View all 2 editions?
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Linearity-generating processes: a modeling tool yielding closed forms for asset prices
2007, National Bureau of Economic Research
in English
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Linearity-generating processes: a modelling tool yielding closed forms for asset prices
2007, National Bureau of Economic Research
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in English
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Book Details
Edition Notes
Title from PDF file as viewed on 9/26/2007.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created December 19, 2020
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