Asymptotic Arbitrage In The Heston Model
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DOI: 10.1142/S0219024915500557
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- Fatma Haba & Antoine Jacquier, 2013. "Asymptotic arbitrage in the Heston model," Papers 1302.6491, arXiv.org, revised Apr 2014.
References listed on IDEAS
- Martin Mbele Bidima & Miklos Rasonyi, 2012. "On long-term arbitrage opportunities in Markovian models of financial markets," Annals of Operations Research, Springer, vol. 200(1), pages 131-146, November.
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Cited by:
- Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
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Keywords
Stochastic volatility model; Heston model; asymptotic arbitrage; large deviations;All these keywords.
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