TY  - JOUR 
AU  - Gómez del Valle, María Lourdes
AU  - Martínez Rodríguez, Julia
PY  - 2016
SN  - 0377-0427
UR  - http://uvadoc.uva.es/handle/10324/21457
AB  - The estimation of the market price of risk is an open question in the jump-diffusion term structure literature when a closed-form solution is not known. Furthermore, the estimation of the physical drift has a high risk of misspecification. In this...
LA  - eng
PB  - Elsevier
KW  - Tipos de interés
KW  - Economía y Empresa
TI  - Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
DO  - 10.1016/j.cam.2015.02.031
ER  -