ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL

DOI10.1142/S0219024915500557zbMath1339.91117arXiv1302.6491MaRDI QIDQ3467601

Antoine Jacquier, Fatma Haba

Publication date: 3 February 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.6491

zbMATH Keywords

large deviationsHeston modelstochastic volatility modelpartial asymptotic arbitrage

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model

Cites Work

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• Strong asymptotic arbitrage in the large fractional binary market
• Mathematical methods for financial markets.
• On changes of measure in stochastic volatility models
• Asymptotic arbitrage and large deviations
• Statistical inference for ergodic diffusion processes.
• The mathematics of arbitrage
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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