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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://arxiv.org/pdf/1302.6491 Latest version (application/pdf)

Related works:
Journal Article: ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1302.6491

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().