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

被引：39

作者：

Kallsen, Jan ^{[1
]}

Muhle-Karbe, Johannes ^{[2
]}

机构：

[1] Univ Kiel, D-24098 Kiel, Germany

[2] Univ Vienna, Fak Math, A-1090 Vienna, Austria

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2010年 / 120卷 / 02期

关键词：

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

D O I：

10.1016/j.spa.2009.10.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider local martingales of exponential form M = e(x) or E(X), where X denotes one component of a multivariate affine process. We give a weak sufficient criterion for M to be a true martingale. As a first application, we derive a simple sufficient condition for absolute continuity of the laws of two given affine processes. As a second application, we study whether the exponential moments of an affine process solve a generalized Riccati equation. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：163 / 181

页数：19

共 49 条

[41] Markovian lifts of positive semidefinite affine Volterra-type processes
Christa Cuchiero
Josef Teichmann
Decisions in Economics and Finance, 2019, 42 : 407 - 448
[42] Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
Kang, Chulmin
Kang, Wanmo
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 123 (06) : 2419 - 2445
[43] Affine pure-jump processes on positive Hilbert-Schmidt operators
Cox, Sonja
Karbach, Sven
Khedher, Asma
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2022, 151 : 191 - 229
[44] EXACT AND HIGH-ORDER DISCRETIZATION SCHEMES FOR WISHART PROCESSES AND THEIR AFFINE EXTENSIONS
Ahdida, Abdelkoddousse
Alfonsi, Aurelien
ANNALS OF APPLIED PROBABILITY, 2013, 23 (03) : 1025 - 1073
[45] Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
Bardet, Jean-Marc
Boularouk, Yakoub
Djaballah, Khedidja
ELECTRONIC JOURNAL OF STATISTICS, 2017, 11 (01): : 452 - 479
[46] Fractal-based exponential distribution of urban density and self-affine fractal forms of cities
Chen, Yanguang
Feng, Jian
CHAOS SOLITONS & FRACTALS, 2012, 45 (11) : 1404 - 1416
[47] VIX option pricing-Applied by affine models with tempered stable processes and stochastic parameter
Yin Y.
Wu H.
Pang R.
Zhu F.
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2020, 40 (10): : 2530 - 2545
[48] Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump
Huang, Shoude
Guo, Xunxiang
CHAOS SOLITONS & FRACTALS, 2022, 158
[49] Affine processes on positive semidefinite d x d matrices have jumps of finite variation in dimension d > 1
Mayerhofer, Eberhard
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (10) : 3445 - 3459

← 1 2 3 4 5 →