Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145102 | Journal of the Korean Statistical Society | 2008 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joonhee Rhee, Yoon Tae Kim,