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.
On the martingale property in the rough Bergomi model.Electronic Communi- cations in Probability, 24:Paper No
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Moments in Rough Bergomi and Boundary Attainment in Rough Heston
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.