Exponential moments of affine processes
Exponential moments of affine processes
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. …