ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (Q3467601)

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ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL
scientific article

    Statements

    title
    ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (English)
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    author
    Fatma Haba
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    Antoine Jacquier
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    publication date
    3 February 2016
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    zbMATH Keywords
    stochastic volatility model
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    Heston model
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    partial asymptotic arbitrage
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    large deviations
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H10
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    60F10
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    91B70
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    zbMATH DE Number
    6538908
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