A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer, Johannes Muhle-Karbe and Alexander G. Smirnov

Stochastic Processes and their Applications, 2011, vol. 121, issue 3, 568-582

Abstract: We consider local martingales of exponential form or where X denotes one component of a multivariate affine process in the sense of Duffie et al. (2003) [8]. By completing the characterization of conservative affine processes in [8, Section 9], we provide deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale.

Keywords: Exponential; martingales; Affine; processes; Semimartingale; characteristics; Conservative; processes (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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