Fatma Haba, Antoine Jacquier
Published 2013-02-26, updated 2014-04-03Version 2
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.
Comments: 13 pages. New definition of partial asymptotic arbitrage introduced. Main theorems revised
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