Moment explosions in the rough Heston model
نویسندگان
چکیده
منابع مشابه
Moment explosions in stochastic volatility models
Let (St)t≥0 be the discounted price process in a stochastic volatility model. A moment explosion takes place, if the moment E[S t ] of some given order u ∈ R becomes infinite (‘explodes’) after some finite time T∗(u). Moment explosions are closely related to the shape of the implied volatility surface, where they can be used to obtain approximations for deep in-the-money and out-of-the-money st...
متن کاملTime Dependent Heston Model
The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [Hes93] or piecewise constant [MN03]. Hence, using a small volatility of volatility expansion and Malliavin calculus techniques, we derive an accurate analytical formula for the price of vanilla options for any time dependent Heston model (the accuracy is less than a few bps fo...
متن کاملAsymptotic Arbitrage in the Heston Model
In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172]. In the context of the Heston model, we establish a precise link between the set of equivalent martingale meas...
متن کاملFast Calibration in the Heston Model
The Heston model is one of the most popular stochastic volatility models for derivatives pricing. The model proposed by Heston (1993) takes into account non-lognormal distribution of the assets returns, leverage effect and the important mean-reverting property of volatility. In addition, it has a semi-closed form solution for European options. It therefore extends the Black and Scholes model an...
متن کاملMoment Explosions and Stationary Distributions in Affine Diffusion Models
Many of the most widely used models in finance fall within the affine family of diffusion processes. The affine family combines modeling flexibility with substantial tractability, particularly through transform analysis; these models are used both for econometric modeling and for pricing and hedging of derivative securities. We analyze the tail behavior, the range of finite exponential moments,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2019
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-019-00267-6