Asymptotic Arbitrage in the Heston Model

13 Pages Posted: 18 Nov 2015

See all articles by Antoine (Jack) Jacquier

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Fatma Haba

University of Tunis El Manar, Tunisia

Date Written: November 14, 2015

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.

Keywords: Heston, asymptotic arbitrage, large deviations

Suggested Citation

Jacquier, Antoine and Haba, Fatma, Asymptotic Arbitrage in the Heston Model (November 14, 2015). International Journal of Theoretical and Applied Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2690823

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Fatma Haba

University of Tunis El Manar, Tunisia ( email )

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