  When dealing with Heston's stochastic volatility model, the change of measure
from the subjective measure P to the objective measure Q is usually
investigated under the assumption that the Feller condition is satisfied. This
paper closes this gap in the literature by deriving sufficient conditions for
the existence of an equivalent (local) martingale measure in the Heston model
when the Feller condition is violated. We also supplement the existing
literature by the case of a finite lifetime of the Laplace transform of the
integrated volatility process. Moreover, we deduce conditions for the stock
price process in the Heston model being a true martingale, regardless if the
Feller condition is satisfied or not.
