Asymptotic Arbitrage in the Heston Model
Author | : Antoine (Jack) Jacquier |
Publisher | : |
Total Pages | : 13 |
Release | : 2015 |
ISBN-10 | : OCLC:1306374699 |
ISBN-13 | : |
Rating | : 4/5 (99 Downloads) |
Download or read book Asymptotic Arbitrage in the Heston Model written by Antoine (Jack) Jacquier and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.