Asymptotic Arbitrage in the Heston Model
13 Pages Posted: 18 Nov 2015
Date Written: November 14, 2015
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
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