| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069772 | Finance Research Letters | 2013 | 8 Pages |
Abstract
⺠The constant volatility assumption of the classical AFNS model is released. ⺠The unspanned stochastic volatility is incorporated into our framework. ⺠The empirical model benefits from the theoretical background of HJM framework. ⺠Markovian representation is applied to the arbitrage-free contribution term. ⺠The market price of risk is demonstrated in the USV-AFNS model.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Rui Chen, Ke Du,