Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model

Martin Forde, Stefan Gerhold, Benjamin Smith

We characterize the behaviour of the Rough Heston model introduced by Jaisson\&Rosenbaum \cite{JR16} in the small-time, large-time and $\alpha \to 1/2$ (i.e. $H\to 0$) limits. We show th…