Affiliation:
1. Department of Mathematics, Université Tunis El Manar, Tunisia
2. Department of Mathematics, Imperial College London, South Kensington Campus, London SW7 2AZ, UK
Abstract
In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172]. 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 Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249], our result does not assume a suitable condition on the stock price process to allow for (partial) asymptotic arbitrage.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
1 articles.
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1. Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model;International Journal of Mathematics and Mathematical Sciences;2019-03-12