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. Upper and lower bounds for the explosion time are established, as well as an algorithm to compute the explosion time (under some restrictions). We show that the critical moments are finite for all maturities. For negative correlation, we apply our algorithm for the moment explosion time to compute the lower critical moment.

中文翻译：

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粗糙的Heston模型中的瞬间爆炸

我们表明，在粗糙的Heston模型中（El Euch，Rosenbaum 2016，arXiv：1609.02108），矩爆炸时间是有限的，当且仅当对于经典Heston模型是有限的。建立爆炸时间的上限和下限，以及计算爆炸时间的算法（在某些限制下）。我们表明，关键时刻对于所有到期日都是有限的。对于负相关，我们将我们的算法应用于瞬间爆炸时间，以计算较低的临界时刻。