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What does the market price of risk tell us in the single factor interest rate model?
- Authors
- Rhee, Joonhee; Kim, Yoon Tae
- Issue Date
- Sep-2008
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- Levy process; market price of risk; interest rate model
- Citation
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.37, no.3, pp.249 - 257
- Journal Title
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY
- Volume
- 37
- Number
- 3
- Start Page
- 249
- End Page
- 257
- ISSN
- 1226-3192
- Abstract
- We derive the formulas for single-factor Levy 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. (c) 2008 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
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Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)