The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration (Q2066792)
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scientific article; zbMATH DE number 7457627
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| English | The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration |
scientific article; zbMATH DE number 7457627 |
Statements
The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration (English)
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14 January 2022
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2-factor hull-white model
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Gauss2++ model
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risk neutral and real world
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change of measure
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time-varying market price of risk
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0.7049251198768616
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0.6999878287315369
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0.6959829926490784
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0.6896697282791138
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0.6840311288833618
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