Moment explosions in the rough Heston model (Q2292054)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moment explosions in the rough Heston model |
scientific article |
Statements
Moment explosions in the rough Heston model (English)
0 references
31 January 2020
0 references
option pricing
0 references
rough volatility
0 references
rough Heston model
0 references
moment explosion
0 references
Volterra integral equation
0 references
0 references
0 references
0 references
