A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer; Johannes Muhle-Karbe; Alexander G. Smirnov

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arXiv · 0910.3632

A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer·Johannes Muhle-Karbe·Alexander G. Smirnov

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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.

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Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov. 2010-11-29. A characterization of the martingale property of exponentially affine processes. https://arxiv.org/abs/0910.3632

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