model when the market price of risk belongs to the *essentially affine* class (see [@duf02]). Furthermore, it demonstrates that the $4/2$ model provides a general framework that nests other popular model choices.

Different specifications of the market price of risk do not only impact on the shape of the GOP dynamics. In fact, depending on the calibrated values of the model parameters, we may incur situations where classical risk neutral pricing is no longer possible because an equivalent risk neutral probability measure does not exist. To see this, we observe that from a direct inspection of the dynamics in in the Heston model setting, it is tempting to define the following two continuous processes $$\begin{aligned}
\label{eq:candidateBMs}
\begin{aligned}
Z^{{\mathbb{Q}}^{1}}(t)&:=Z(t)+\int_0^t\lambda(s){\mathrm{d}}s\\
Z^{{\mathbb{Q}}^{2}}(t)&:=Z(t)+\int_0^t\left(\lambda(s)-\sqrt{V(s)}\right){\mathrm{d}}s,\\
\end{aligned}\end{aligned}$$ which, if the assumptions of the Girsanov theorem were in both cases fulfilled, would then be ${\mathbb{Q}}^1$- (resp. ${\mathbb{Q}}^2$-) Brownian motions. Let us assume that under the real world probability measure ${\mathbb{P}}$ the Feller condition (see [@kar91], Section 5.5) is fulfilled by the parameters of the volatility process $V$, i.e. we have $2\kappa\theta-\sigma^2\geq0$, so that the square root process $V$ remains strictly positive ${\mathbb{P}}$-a.s. for all $ t\in[0,\bar T]$. The following lemma shows that, depending on the specification of $\lambda$, 