GEORGEV, GEORGI; JUNG, JAY; KAZEMI, HOSSEIN B.; … - In: Studies in Economics and Finance 20 (2002) 2, pp. 19-38
This paper shows that for a large class of single and multi‐factor term structure models, including the affine class, the market price of risk is directly related to the parameters of the stochastic processes of the underlying factors of the economy. It is shown that the market price of risk...
