On Exponential Moments of Affine Processes

Details On Exponential Moments of Affine Processes On Exponential Moments of Affine Processes

2011-11-07

arxiv.org/abs/1111.1659v1

Mathematics

Probability

26 pages

Scientific paper

We investigate the maximal domain of the moment generating function of affine processes in the sense of Duffie, Filipovic and Schachermayer (2003), and 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 preceding ones by Glasserman and Kim (2010), Filipovic and Mayerhofer (2009), Kallsen and Muhle-Karbe (2008) and Spreij and Veerman (2010) in that it allows processes with completely general jump behavior, applies to any convex state space and provides both sufficient and necessary conditions for finiteness of exponential moments.

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