Exponentially affine martingales, affine measure changes and exponential moments of affine processes
We consider local martingales of exponential form or , where X denotes one component of a multivariate affine process. We give a weak sufficient criterion for M to be a true martingale. As a first application, we derive a simple sufficient condition for absolute continuity of the laws of two given affine processes. As a second application, we study whether the exponential moments of an affine process solve a generalized Riccati equation.
Year of publication: |
2010
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Authors: | Kallsen, Jan ; Muhle-Karbe, Johannes |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 2, p. 163-181
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Publisher: |
Elsevier |
Keywords: | Affine processes Exponential martingale Uniform integrability Change of measure Exponential moments Generalized Riccati equation |
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