Moment explosions in the rough Heston model (Q2292054)

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scientific article
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English
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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    cites work
    Q3549563
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    Volatility is rough
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    Q5289943
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    Q4692887
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    Q5699297
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    Q4000467
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    Q4942767
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    Q3359022
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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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    OpenAlex ID
    W2974548014
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    arXiv ID
    1801.09458
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    Wikidata QID
    Q127218225
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