3 papers
q-fin.MF2018
Moment Explosions in the Rough Heston Model
Stefan Gerhold, Christoph Gerstenecker, Arpad Pinter
We show that the moment explosion time in the rough Heston model [El Euch, Rosenbaum 2016, arxiv:1609.02108] is finite if and only if it is finite for the classical Heston model. U…
q-fin.PR2016
Option Pricing in the Moderate Deviations Regime
Peter Friz, Stefan Gerhold, Arpad Pinter
We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-t…
q-fin.PR2013
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
Stefan Gerhold, I. Cetin Gülüm, Arpad Pinter
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity expone…