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- 8/24/11
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Hi,
I am looking at implementing a stochastic risk premium in the Vasicek model (or some similar model). It is hard to find papers who does this in the Vasicek model or some modified version of it. Do you have any tips for implementation or papers that write about it?
My first approach is to try to make the market price of risk stichastic i.e. an Ornstein-Uhlenberg process and then work "backwards" but I would like to have ideas and iputs. I would be nice if there was a paper who does something similar that I could read.
I am looking at implementing a stochastic risk premium in the Vasicek model (or some similar model). It is hard to find papers who does this in the Vasicek model or some modified version of it. Do you have any tips for implementation or papers that write about it?
My first approach is to try to make the market price of risk stichastic i.e. an Ornstein-Uhlenberg process and then work "backwards" but I would like to have ideas and iputs. I would be nice if there was a paper who does something similar that I could read.
