Asymptotic arbitrage in the Heston model

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.Comment: 13 pages. New definition of partial asymptotic arbitrage introduced. Main theorems revise