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Arbitrage Opportunities in Misspecified Stochastic Volatility Models - MaRDI portal

Arbitrage Opportunities in Misspecified Stochastic Volatility Models (Q3006709)

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Arbitrage Opportunities in Misspecified Stochastic Volatility Models
scientific article

    Statements

    title
    Arbitrage Opportunities in Misspecified Stochastic Volatility Models (English)
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    author
    Rudra P. Jena
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    Peter Tankov
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    publication date
    21 June 2011
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    zbMATH Keywords
    stochastic volatility
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    model misspecification
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    volatility arbitrage
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    butterfly
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    risk reversal
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    SABR model
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    Identifiers

    DOI
    10.1137/100786678
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    zbMATH DE Number
    5910142
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    OpenAlex ID
    W1991654365
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    arXiv ID
    1002.5041
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