Article ID Journal Published Year Pages File Type
1145102 Journal of the Korean Statistical Society 2008 9 Pages PDF
Abstract

We derive the formulas for single-factor Lévy type-bond pricing by incorporating the stochastic market price of risk, and find a sufficient condition of the market price of risk for producing the well-known affine class or the quadratic class.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
What does the market price of risk tell us in the single factor interest rate model?
Authors
, ,