A characterization of the martingale property of exponentially affine processes
Metadata only
Date
2011-03Type
- Journal Article
ETH Bibliography
yes
Altmetrics
Publication status
publishedExternal links
Journal / series
Stochastic Processes and their ApplicationsVolume
Pages / Article No.
Publisher
ElsevierSubject
Exponential martingales; Affine processes; Semimartingale characteristics; Conservative processesOrganisational unit
03899 - Muhle-Karbe, Johannes (ehemalig)
Notes
Received 16 November 2009, Revised 10 November 2010, Accepted 29 November 2010, Available online 10 December 2010.More
Show all metadata
ETH Bibliography
yes
Altmetrics