@article{Jacquier:2015:10.1142/S0219024915500557,
author = {Jacquier, A and Haba, FH},
doi = {10.1142/S0219024915500557},
journal = {International Journal of Theoretical and Applied Finance},
title = {Asymptotic arbitrage in the Heston model},
url = {http://dx.doi.org/10.1142/S0219024915500557},
volume = {18},
year = {2015}
}

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TY  - JOUR
AB  - In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Follmer & Schachermayer (2007) and Kabanov & Kramkov (1998). 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 this partial asymptotic arbitrage. In contrast to Follmer & Schachermayer (2007), our result does not assume a suitable condition on the stock price process to allow for (partial) asymptotic arbitrage.
AU  - Jacquier,A
AU  - Haba,FH
DO  - 10.1142/S0219024915500557
PY  - 2015///
SN  - 0219-0249
TI  - Asymptotic arbitrage in the Heston model
T2  - International Journal of Theoretical and Applied Finance
UR  - http://dx.doi.org/10.1142/S0219024915500557
UR  - http://hdl.handle.net/10044/1/27701
VL  - 18
ER  - 

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