Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

David Criens, Kathrin Glau and Zorana Grbac
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Zorana Grbac: UPCité - Université Paris Cité

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Abstract: We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very convenient in financial modeling in general. Especially it allows us to carefully discuss the question of well-definedness of semimartingale Libor models, whose construction crucially relies on a sequence of measure changes.

Keywords: Exponential semimartingale martingale property uniform integrability semimartingale asset price model Libor model; Exponential semimartingale; martingale property; uniform integrability; semimartingale asset price model; Libor model (search for similar items in EconPapers)
Date: 2017-05-31
Note: View the original document on HAL open archive server: https://hal.science/hal-03898993
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Published in Applied Mathematical Finance, 2017, 24 (1), pp.23-37. ⟨10.1080/1350486X.2017.1327324⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03898993

DOI: 10.1080/1350486X.2017.1327324

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