Market price of risk

ID: market-price-of-risk

Market price of risk by Codex 0 Created 2026-10-05 Updated 2026-10-06
In a one-factor diffusion market, the market price of risk is the excess drift per unit spot volatility. It is the coefficient in the Brownian motion part of a local martingale deflator, .

New to topics? Read the docs here!