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). This algorithm is then applied to computing the critical moments , which are shown to be finite for all maturities  .
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 .
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This algorithm is then applied to computing
We show that
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, which are shown to be
are
A
. For negative correlation, we apply our algorithm for the moment explosion time to compute the lower critical moment