Correlations and bounds for stochastic volatility mod- els.Annales de l’Institut Henri Poincaré

Pierre-Louis Lions, Marek Musiela · 2007 · DOI 10.1016/j.anihpc.2005.05.007

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math.PR · 2026-06-05 · unverdicted · novelty 8.0

Proves finite moments E[S_T^p] < ∞ for p < p_ρ in rough Bergomi under ρ ∈ [-1,0) and positive atom at zero for rough Heston variance process.

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Moments in Rough Bergomi and Boundary Attainment in Rough Heston math.PR · 2026-06-05 · unverdicted · none · ref 26
Proves finite moments E[S_T^p] < ∞ for p < p_ρ in rough Bergomi under ρ ∈ [-1,0) and positive atom at zero for rough Heston variance process.