Let be the market price of risk associated to the correlated Brownian motions in the Heston model. The condition for the existence of an equivalent martingale measure is
and Heston additionally imposed . (See MeasureChange-HestonModel) for details. For a fractional Heston model the problem of determining the appropriate conditions is still open pending more numerical work. The risk-neutral martingale measure is given in (1.2) in the above reference.