Exponential moments of affine processes

Martin Keller‐Ressel, Eberhard Mayerhofer

The Annals of Applied Probability · 2015 · 79 citations · 28 references

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Abstract

We investigate the maximal domain of the moment generating function of affine processes in the sense of Duffie, Filipović and Schachermayer [Ann. Appl. Probab. 13 (2003) 984–1053], and we show the validity of the affine transform formula that connects exponential moments with the solution of a generalized Riccati differential equation. Our result extends and unifies those preceding it (e.g., Glasserman and Kim [Math. Finance 20 (2010) 1–33], Filipović and Mayerhofer [Radon Ser. Comput. Appl. Math. 8 (2009) 1–40] and Kallsen and Muhle-Karbe [Stochastic Process Appl. 120 (2010) 163–181]) in that it allows processes with very general jump behavior, applies to any convex state space and provides both sufficient and necessary conditions for finiteness of exponential moments.

References

28