What does the market price of risk tell us in the single factor interest rate model?

DOI10.1016/J.JKSS.2008.02.001zbMATH Open1153.91559OpenAlexW1994054643MaRDI QIDQ955853FDOQ955853

Authors: Joonhee Rhee, Yoon Tae Kim 

Publication date: 20 November 2008

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.02.001

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zbMATH Keywords

market price of riskinterest rate modelLévy process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• Time Change Representation of Stochastic Integrals

Cited In (1)

• Affine models with stochastic market price of risk

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