The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
Year of publication: |
2021
|
---|---|
Authors: | Berninger, Christoph ; Pfeiffer, Julian |
Published in: |
European Actuarial Journal. - Berlin, Heidelberg : Springer, ISSN 2190-9741. - Vol. 11.2021, 2, p. 677-705
|
Publisher: |
Berlin, Heidelberg : Springer |
Subject: | 2-Factor Hull-White model | Gauss2++ model | Risk neutral and real world | Change of measure | Time-varying market price of risk |
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