Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
arXiv:1506.08127
Abstract
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very convenient in financial modeling in general. Especially it allows us to carefully discuss the question of well-definedness of semimartingale Libor models, whose construction crucially relies on a sequence of measure changes.
13 pages