Exponential moments of affine processes (Q2341630)

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Exponential moments of affine processes
scientific article

    Statements

    title
    Exponential moments of affine processes (English)
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    author
    Martin Keller-Ressel
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    Eberhard Mayerhofer
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    publication date
    27 April 2015
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    zbMATH Keywords
    affine processes
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    exponential moments
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    Riccati equation
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    financial modeling
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    cites work
    Q5556844
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    Q5565769
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    Q4937701
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    Identifiers

    DOI
    10.1214/14-AAP1009
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    zbMATH DE Number
    6430710
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    arXiv ID
    1111.1659
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    OpenAlex ID
    W1983385690
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