Moment explosions in the rough Heston model (Q2292054): Difference between revisions

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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+The characteristic function of rough Heston models
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+Volatility is rough
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+A comparison principle between rough and non-rough Heston models—with applications to the volatility surface
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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