Moment Explosions and Long-term Behavior of Affine Stochastic Volatility Models

@inproceedings{KellerRessel2008MomentEA,
  title={Moment Explosions and Long-term Behavior of Affine Stochastic Volatility Models},
  author={Martin Keller-Ressel},
  year={2008}
}
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic, and Schachermayer [2003]. First we obtain conditions for the price process to be conservative and a martingale. Then we present some results on the long-term behavior of the model, including an expression for the invariant distribution of the stochastic variance process. We study moment explosions of the price process… CONTINUE READING