Exponentially affine martingales, affine measure changes and exponential moments of affine processes
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References listed on IDEAS
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- Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
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More about this item
KeywordsAffine processes Exponential martingale Uniform integrability Change of measure Exponential moments Generalized Riccati equation;
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