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Exponentially affine martingales, affine measure changes and exponential moments of affine processes

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  • Kallsen, Jan
  • Muhle-Karbe, Johannes

Abstract

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.

Suggested Citation

  • Kallsen, Jan & Muhle-Karbe, Johannes, 2010. "Exponentially affine martingales, affine measure changes and exponential moments of affine processes," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 163-181, February.
    • Handle: RePEc:eee:spapps:v:120:y:2010:i:2:p:163-181
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