{
  "id": "1302.6491",
  "version": "v2",
  "published": "2013-02-26T16:53:47.000Z",
  "updated": "2014-04-03T10:39:51.000Z",
  "title": "Asymptotic arbitrage in the Heston model",
  "authors": [
    "Fatma Haba",
    "Antoine Jacquier"
  ],
  "comment": "13 pages. New definition of partial asymptotic arbitrage introduced. Main theorems revised",
  "categories": [
    "q-fin.PR",
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2014-04-03T10:39:51.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91B24",
      "60F10"
    ],
    "keywords": [
      "heston model",
      "asymptotic arbitrage",
      "equivalent martingale measures",
      "precise link",
      "underlying variance process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 13,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1302.6491H"
    }
  }
}