Market price of risk
= Market price of risk
{title2=$\lambda_t=(\mu_t-r_t)/\sigma_t$}
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>, $dY_t=-Y_t(r_tdt+\lambda_tdW_t)$.