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

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Author

Date

2010-02

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Stochastic Processes and their Applications

Volume

120(2)

Pages / Article No.

163 - 181

Publisher

Elsevier

Subject

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

Organisational unit

03899 - Muhle-Karbe, Johannes (ehemalig)

Notes

Received 11 October 2008, Revised 1 October 2009, Accepted 17 October 2009, Available online 1 November 2009.

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ETH Bibliography

yes

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