{"id":"https://openalex.org/W1991654365","doi":"https://doi.org/10.1137/100786678","title":"Arbitrage Opportunities in Misspecified Stochastic Volatility Models","display_name":"Arbitrage Opportunities in Misspecified Stochastic Volatility Models","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1991654365","doi":"https://doi.org/10.1137/100786678","mag":"1991654365"},"language":"en","primary_location":{"id":"doi:10.1137/100786678","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100786678","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1002.5041","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032476928","display_name":"Rudra P. Jena","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Rudra P. Jena","raw_affiliation_strings":["jena@cmap.polytechnique.fr#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"jena@cmap.polytechnique.fr#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052828075","display_name":"Peter Tankov","orcid":"https://orcid.org/0000-0003-4882-9806"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Peter Tankov","raw_affiliation_strings":["tankov@cmap.polytechnique.fr#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"tankov@cmap.polytechnique.fr#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.3989,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.70278865,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2","issue":"1","first_page":"317","last_page":"341"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9943000078201294,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9894999861717224,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.7749513387680054},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.658186674118042},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5642656683921814},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.555812418460846},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.552865743637085},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5448510646820068},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5176751613616943},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4896896183490753},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4626598656177521},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.4616287052631378},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.4370279312133789},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4039266109466553},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.3803243935108185},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.259033203125},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.20592021942138672}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7749513387680054},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.658186674118042},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5642656683921814},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.555812418460846},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.552865743637085},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5448510646820068},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5176751613616943},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4896896183490753},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4626598656177521},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.4616287052631378},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.4370279312133789},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4039266109466553},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.3803243935108185},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.259033203125},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.20592021942138672}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/100786678","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100786678","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1002.5041","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1002.5041","pdf_url":"https://arxiv.org/pdf/1002.5041","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1002.5041","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1002.5041","pdf_url":"https://arxiv.org/pdf/1002.5041","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"score":0.46000000834465027,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320331267","display_name":"Fondation du Risque","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1991654365.pdf","grobid_xml":"https://content.openalex.org/works/W1991654365.grobid-xml"},"referenced_works_count":33,"referenced_works":["https://openalex.org/W1483382787","https://openalex.org/W1494628843","https://openalex.org/W1524094700","https://openalex.org/W1999354010","https://openalex.org/W2016195689","https://openalex.org/W2018055712","https://openalex.org/W2034241492","https://openalex.org/W2057854688","https://openalex.org/W2067553711","https://openalex.org/W2072685235","https://openalex.org/W2085381482","https://openalex.org/W2088295319","https://openalex.org/W2120900212","https://openalex.org/W2129220488","https://openalex.org/W2130687778","https://openalex.org/W2133157852","https://openalex.org/W2141791186","https://openalex.org/W2146848558","https://openalex.org/W2161836471","https://openalex.org/W2171056870","https://openalex.org/W2185060515","https://openalex.org/W2369386221","https://openalex.org/W2495591297","https://openalex.org/W3104118227","https://openalex.org/W3121174621","https://openalex.org/W3121645562","https://openalex.org/W3124189939","https://openalex.org/W3124475197","https://openalex.org/W3124520208","https://openalex.org/W3125175069","https://openalex.org/W4239802052","https://openalex.org/W4250538945","https://openalex.org/W4300146793"],"related_works":["https://openalex.org/W634388619","https://openalex.org/W2363171451","https://openalex.org/W3047082672","https://openalex.org/W2355276924","https://openalex.org/W4230033801","https://openalex.org/W4235918021","https://openalex.org/W2595720733","https://openalex.org/W2009844564","https://openalex.org/W565783421","https://openalex.org/W2134058467"],"abstract_inverted_index":{"There":[0],"is":[1],"vast":[2],"empirical":[3],"evidence":[4],"that":[5],"given":[6],"a":[7,41,68,91],"set":[8],"of":[9,15,71,80],"assumptions":[10],"on":[11,21],"the":[12,18,48,52,56,59,72],"real-world":[13],"dynamics":[14,61],"an":[16],"asset,":[17],"European":[19],"options":[20,29],"this":[22],"asset":[23],"are":[24,62,88],"not":[25],"efficiently":[26],"priced":[27],"in":[28,40,78],"markets,":[30],"giving":[31],"rise":[32],"to":[33],"arbitrage":[34,53],"opportunities.":[35],"We":[36],"study":[37],"these":[38],"opportunities":[39],"generic":[42],"stochastic":[43],"volatility":[44,84],"model":[45],"and":[46,74],"exhibit":[47],"strategies":[49],"which":[50],"maximize":[51],"profit.":[54],"In":[55],"case":[57],"when":[58],"misspecified":[60],"classical":[63],"Black\u2013Scholes":[64],"ones,":[65],"we":[66],"give":[67],"new":[69],"interpretation":[70],"butterfly":[73],"risk":[75],"reversal":[76],"contracts":[77],"terms":[79],"their":[81],"performance":[82],"for":[83],"arbitrage.":[85],"Our":[86],"results":[87],"illustrated":[89],"by":[90],"numerical":[92],"example":[93],"including":[94],"transaction":[95],"costs.":[96]},"counts_by_year":[{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-08-23T07:36:19.812096","created_date":"2025-10-10T00:00:00"}