Arbitrage Opportunities in Misspecified Stochastic Volatility Models

DOI10.1137/100786678zbMath1215.91075arXiv1002.5041OpenAlexW1991654365MaRDI QIDQ3006709

Peter Tankov, Rudra P. Jena

Publication date: 21 June 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.5041

zbMATH Keywords

stochastic volatilitybutterflymodel misspecificationSABR modelrisk reversalvolatility arbitrage

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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