Asymptotic arbitrage in the Heston model
Pricing of Securities
2014-04-04 v2 Probability
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.
Cite
@article{arxiv.1302.6491,
title = {Asymptotic arbitrage in the Heston model},
author = {Fatma Haba and Antoine Jacquier},
journal= {arXiv preprint arXiv:1302.6491},
year = {2014}
}
Comments
13 pages. New definition of partial asymptotic arbitrage introduced. Main theorems revised