The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models
We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable; therefore, this result opens a way to estimate the jump size directly from data in the markets together with the risk-neutral drift and jump intensity estimations. Then,...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2015/805695 |
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