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We show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for… Click to show full abstract
We show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper and lower bounds for the explosion time are established, as well as an algorithm to compute the explosion time (under some restrictions). We show that the critical moments are finite for all maturities. For negative correlation, we apply our algorithm for the moment explosion time to compute the lower critical moment.
Keywords:
rough heston;
explosion time;
moment;
heston model
Journal Title: Decisions in Economics and Finance
Year Published: 2019
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Journal Title: Decisions in Economics and Finance
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!