Estimating single factor jump diffusion interest rate models
نویسندگان
چکیده
منابع مشابه
Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
The estimation of the market price of risk is an open question in the jump-diffusion term structure literature when a closed-form solution is not known. Furthermore, the estimation of the physical drift has a high risk of misspecification. In this paper, we obtain some results that relate the risk-neutral drift and the risk-neutral jump intensity of interest rates with the prices and yields of ...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2011
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603107.2011.591729