Before revision: Martingality plays a crucial role in mathematical finance, in particular arbitrage-freeness of a financial model is guaranteed by the local martingale property of discounted price processes. However, in order to compute prices as conditional expectations the discounted price process has to be a true martingale. If this is not the case, the market and the fundamental (computed) prices deviate, which is interpreted as financial bubble. Moreover, if the discounted price process is a true martingale it can be used to define an equivalent change of measure. Based on general conditions in Kallsen and Shiryaev (2002), we derive explicit sufficient conditions for the true martingality of a wide class of exponentials of semimartingales.
After revision: We give a collection of explicit sufficient conditions for the true martingality of a wide class of exponentials of semimartingales.