Moment explosions in the rough Heston model

DOI10.1007/s10203-019-00267-6zbMath1432.91123arXiv1801.09458OpenAlexW2974548014WikidataQ127218225 ScholiaQ127218225MaRDI QIDQ2292054

Christoph Gerstenecker, Stefan Gerhold, Arpad Pinter

Publication date: 31 January 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.09458

zbMATH Keywords

option pricingVolterra integral equationmoment explosionrough Heston modelrough volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

Related Items (14)

On the Discrete-Time Simulation of the Rough Heston Model ⋮ Robust control in a rough environment ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ On the martingale property in the rough Bergomi model ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ A comparison principle between rough and non-rough Heston models—with applications to the volatility surface ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Difference Equation Theory Meets Mathematical Finance ⋮ Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime ⋮ Time-Inconsistency with Rough Volatility

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