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Keywords: Equivalent martingale measure
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Journal Articles
Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (2): 134–162.
Published: 15 May 2017
... are constants and d Z 1 , t s , d Z 2 , t s are independent Brownian motions. Under the equivalent martingale measure, these processes can be expressed as: Following Duffee (1999) , we adopt a two-factor term structure model where rt equals...
