Moment explosions in the rough Heston model (Q2292054)

From MaRDI portal
Revision as of 19:04, 19 March 2024 by Openalex240319060354 (talk | contribs) (Set OpenAlex properties.)
scientific article
Language Label Description Also known as
English
Moment explosions in the rough Heston model
scientific article

    Statements

    title
    Moment explosions in the rough Heston model (English)
    0 references
    author
    Stefan Gerhold
    0 references
    Christoph Gerstenecker
    0 references
    Arpad Pinter
    0 references
    publication date
    31 January 2020
    0 references
    Mathematics Subject Classification ID
    91G20
    0 references
    91B70
    0 references
    45D05
    0 references
    zbMATH DE Number
    7161598
    0 references
    zbMATH Keywords
    option pricing
    0 references
    rough volatility
    0 references
    rough Heston model
    0 references
    moment explosion
    0 references
    Volterra integral equation
    0 references
    OpenAlex ID
    W2974548014
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2292054&oldid=31237190"
    Powered by MediaWiki