We derive a general form of the market prices of risk from
Levy term structure model. When the model of asset prices or interests rates
follow a semimartingale process, the market prices of risk are produced from two
parts. This means the measure change is not unique. We provide the market
prices of risk in incomplete market. The market prices of risk obtained from
several standard methods give the explanation of the stylized facts on the term
premuin. We also extends the studies of the default free case to defaultable one.
As an application, we price the pure discount bond and FRN(Floating Rate
Note) under proper measures.
학회소식
공지사항
[2003년 제 2차] The Market Price of Risk on the Levy Interest Rate
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게시일 :
2003-07-12