Asymptotic arbitrage in the Heston model

Fatma Haba and Antoine Jacquier ()

Papers from arXiv.org

Abstract: In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer-Schachermayer.

Date: 2013-02, Revised 2014-04
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