Moment explosions in the rough Heston model
Crossref DOI link: https://doi.org/10.1007/s10203-019-00267-6
Published Online: 2019-09-21
Published Print: 2019-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Gerhold, Stefan http://orcid.org/0000-0002-4172-3956
Gerstenecker, Christoph
Pinter, Arpad
Funding for this research was provided by:
Austrian Science Fund (P 24880, P 30750)
Text and Data Mining valid from 2019-09-21
Version of Record valid from 2019-09-21
Article History
Received: 24 July 2018
Accepted: 19 August 2019
First Online: 21 September 2019