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

초록

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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