Asymptotic arbitrage in the Heston model (Q3467601)
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scientific article; zbMATH DE number 6538908
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| default for all languages | No label defined |
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| English | Asymptotic arbitrage in the Heston model |
scientific article; zbMATH DE number 6538908 |
Statements
ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (English)
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3 February 2016
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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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0.7894114255905151
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0.7603651881217957
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0.7490851283073425
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0.7446554899215698
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0.7403016686439514
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