摘要翻译：
有大量的经验证据表明，在对一项资产的现实世界动态做出一系列假设的情况下，该资产的欧式期权在期权市场上没有得到有效定价，从而产生了套利机会。我们在一般随机波动率模型中研究了这些机会，并给出了最大化套利利润的策略。在错列动态为经典Black-Scholes动态的情况下，我们从套利策略的（近）最优性出发，对经典蝴蝶合约和风险反转合约给出了新的解释。我们的结果通过一个包含交易费用的数值例子来说明。
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英文标题：
《Arbitrage Opportunities in Misspecified Stochastic volatility Models》
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作者：
Rudra P. Jena, Peter Tankov
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study these opportunities in a generic stochastic volatility model and exhibit the strategies which maximize the arbitrage profit. In the case when the misspecified dynamics is a classical Black-Scholes one, we give a new interpretation of the classical butterfly and risk reversal contracts in terms of their (near) optimality for arbitrage strategies. Our results are illustrated by a numerical example including transaction costs.
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PDF链接：
https://arxiv.org/pdf/1002.5041