Moment explosions in the rough Heston model

被引：11
|
作者：
Gerhold, Stefan [1 ]
Gerstenecker, Christoph [1 ]
Pinter, Arpad [1 ]
机构：
[1] TU Wien, Vienna, Austria
来源：
DECISIONS IN ECONOMICS AND FINANCE | 2019年 / 42卷 / 02期
基金：
奥地利科学基金会;
关键词：
Option pricing; Rough volatility; Rough Heston model; Moment explosion; Volterra integral equation; VOLATILITY; VOLTERRA; AFFINE; BEHAVIOR;
D O I：
10.1007/s10203-019-00267-6
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
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.
引用
收藏
页码：575 / 608
页数：34
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