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April 2015 Exponential moments of affine processes
Martin Keller-Ressel, Eberhard Mayerhofer
Ann. Appl. Probab. 25(2): 714-752 (April 2015). DOI: 10.1214/14-AAP1009

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.

Citation

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Martin Keller-Ressel. Eberhard Mayerhofer. "Exponential moments of affine processes." Ann. Appl. Probab. 25 (2) 714 - 752, April 2015. https://doi.org/10.1214/14-AAP1009

Information

Published: April 2015
First available in Project Euclid: 19 February 2015

zbMATH: 1332.60115
MathSciNet: MR3313754
Digital Object Identifier: 10.1214/14-AAP1009

Subjects:
Primary: 60J25
Secondary: 91B28

Rights: Copyright © 2015 Institute of Mathematical Statistics

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Vol.25 • No. 2 • April 2015
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