Work

Market price of risk specifications for affine models: Theory and evidence☆

Year: 2006

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2005.09.008

Authors: Patrick Cheridito, Damir Filipović, Robert L. Kimmel

Institutions: Princeton University, Ludwig-Maximilians-Universität München, The Ohio State University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2016090388

FWCI: 46.5

Cites: 44

Cited by: 326

Related to: 10