A characterization of the martingale property of exponentially affine processes
Probability
2011-05-06 v3
Abstract
We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). By completing their characterization of conservative affine processes, we provide deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale.
Keywords
Cite
@article{arxiv.0910.3632,
title = {A characterization of the martingale property of exponentially affine processes},
author = {Eberhard Mayerhofer and Johannes Muhle-Karbe and Alexander G. Smirnov},
journal= {arXiv preprint arXiv:0910.3632},
year = {2011}
}
Comments
16 pages, version to appear in Stochastic Processes and Their Applications, 2010/2011