논문KCI 등재
The Market Price of Risk on the Levy Interest Rate Model
0
조회
0
다운로드
2
인용
0
참고문헌
주제분류경제학
초록
Abstract
We derive a general form of the market prices of risk from Levyterm structure model. When the models of asset prices or in-terests rates follow semimartingale processes, the market prices ofrisk are produced from two parts. This means the measure changeis not unique. We provide the market prices of risk in incompletemarket. The market prices of risk obtained from several standardmethods give the explanations of the stylized facts on the termpremuin. We also extend the studies of the default free case todefaultable one. As an application, we price the pure discountbond and FRN(Floating Rate Note) under proper measures.
참고문헌 (17)
- "\Hyperbolic distributions and distributions on hy"
- "Expectation puzzles, time varying risk premia, and dynamics models of the term Structure", 63 (2001)
- "\Evaluating an alternative risk preference in ane term structure models"" (2003)
- "\Term premia and interest forecasts in ane models", 57(1) (2002)
- "\Term structure models driven by levy process", 9(1) (1999)
- "\Geman a probabilistic approachto valuation of general FRNs with an application to interest rate swaps Advances in Futures and Option Research" (1994)
- "Pure jump levy processes for asset price modelling", 26 (2002)
- "\Option pricing by esscher transformation"
- "Transactions of Society of Actuaries" (1994)
- "\Option pricing with V", 1 (1991)
- "\The variance gamma model for share market"
- "Journal of Business", 63(4) (1990)
- "The variance gamma process and option pricing" (1998)
- "\Gerneral equilibrium pricing of options on the market portfolio with discountinuous returns Reveiw of Financial Studies" (1990)
- "Processes and Innitely Divisible Distribution" (1999), Cambridge University Press
- "Term structure modelling of defaultable bonds"
- "Levy processes, ploynomials and martingale", 14, pp.335~349 (1998)
관련 논문AI추천
Two approaches for stochastic interest rate option model김영희, 현정순대한수학회 · 대한수학회지2006 · 제43권 제4호Approximations of option prices for a jump-diffusion model위인숙대한수학회 · 대한수학회지2006 · 제43권 제2호Pricing Call Options under Stochastic VolatilitiesChangMoAhn, D.ChinhyungCho경제연구소 · Seoul Journal of Economics2002 · 제15권 제4호Error estimates for option prices in jump-diffusion models위인숙대한수학회 · 대한수학회보2002 · 제39권 제4호Generalized Brownian motions with application to finance이정현, 정동명대한수학회 · 대한수학회지2006 · 제43권 제2호The Pricing of Option on Bond ForwardsChang Mo Ahn, D. Chinhyung Cho경제연구소 · Seoul Journal of Economics2005 · 제18권 제4호
이 간행물의 다른 논문 (5건)
The Sequential Fitting of Subset Autoregressions with a forgetting Factor형남원, R.D.Terrell, J.H.W. Penm, T.J.Brailsfordpp. 29-57A Role of Money in Economies with Transaction Frictions유태환, 신민영pp. 59-92Contract Law and the Boundaries of the FirmSusheng Wang, Tian Zhupp. 93-113The Efficiency Loss of Monopoly with Increasing Costs : An Expositiory Note이상학pp. 115-119The Knowledge Economy as China's New Growth Momentum Book Review정영록pp. 121-138
