Moment explosions in the rough Heston model (Q2292054)

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Moment explosions in the rough Heston model
scientific article

    Statements

    title
    Moment explosions in the rough Heston model (English)
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    author
    Stefan Gerhold
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    Christoph Gerstenecker
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    Arpad Pinter
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    publication date
    31 January 2020
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    zbMATH Keywords
    option pricing
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    rough volatility
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    rough Heston model
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    moment explosion
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    Volterra integral equation
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B70
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    45D05
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    zbMATH DE Number
    7161598
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