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Authors: Thibault Jeannin ×

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arXiv (math.PR) 2026-06-17 DOI: arXiv:2606.07482

Moments in Rough Bergomi and Boundary Attainment in Rough Heston

Authors:

Arthur Bourdon ↗Thibault Jeannin ↗

arXiv:2606.07482v2 Announce Type: replace Abstract: We address two open questions in the rough volatility literature. First, we prove finite positive moments for the rough Bergomi price process, and for a wider class of Gaussian Volterra Bergomi models, in the whole subcritical range under negative correlation. More precisely, if \(\rho\in[-1,0)\), then \(\E[S_T^p]

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