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A characterization of the martingale property of exponentially affine processes

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Disciplines
  • Mathematics

Abstract

We consider local martingales of exponential form or where X denotes one component of a multivariate affine process in the sense of Duffie et al. (2003) [8]. By completing the characterization of conservative affine processes in [8, Section 9], 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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