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

Stochastic Processes and their Applications

Volumn 120, Issue 2, 2010, Pages 163-181

  Kallsen, Jan ^a   Muhle Karbe, Johannes ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Affine processes; Change of measure; Exponential martingale; Exponential moments; Generalized Riccati equation; Uniform integrability

Indexed keywords

ABSOLUTE CONTINUITY; AFFINE PROCESS; CHANGE OF MEASURE; EXPONENTIAL FORM; GENERALIZED RICCATI EQUATIONS; INTEGRABILITY; SUFFICIENT CONDITIONS; SUFFICIENT CRITERION;

RICCATI EQUATIONS;

EID: 72549087909     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2009.10.012     Document Type: Article

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