Moment explosions in the rough Heston model


We show that the moment explosion time in the rough Heston model [El Euch, Rosenbaum 2016, arxiv:1609.02108] is finite if and only if it is finite for the classical Heston model. Upper and lower bounds for the explosion time... [ view full abstract ]


  1. Stefan Gerhold (TU Wien)
  2. Arpad Pinter (TU Wien)
  3. Christoph Gerstenecker (TU Wien)

Topic Areas

Asymptotics , Stochastic Volatility


MO-A-B2 » Stochastic Volatility 1 (11:30 - Monday, 16th July, Beckett 2)

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