{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:39:17Z","timestamp":1787323157597,"version":"3.56.0"},"reference-count":28,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2011,1]]},"abstract":"<jats:p>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 are classical Black\u2013Scholes ones, we give a new interpretation of the butterfly and risk reversal contracts in terms of their performance for volatility arbitrage. Our results are illustrated by a numerical example including transaction costs.<\/jats:p>","DOI":"10.1137\/100786678","type":"journal-article","created":{"date-parts":[[2011,5,24]],"date-time":"2011-05-24T18:14:45Z","timestamp":1306260885000},"page":"317-341","source":"Crossref","is-referenced-by-count":3,"title":["Arbitrage Opportunities in Misspecified Stochastic Volatility Models"],"prefix":"10.1137","volume":"2","author":[{"given":"Rudra P.","family":"Jena","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Peter","family":"Tankov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2011,5,24]]},"reference":[{"key":"R1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00091-9"},{"key":"R2","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2000.028"},{"key":"R3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02749.x"},{"key":"R4","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"R5","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00021-4"},{"key":"R6","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00049-5"},{"key":"R7","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050020"},{"key":"R8","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj014"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-009-0116-x"},{"key":"R10","unstructured":"Chicago Board of Options Exchange,\n                      The CBOE Volatility Index\u2014VIX\n                      , CBOE, 2009; available online from http:\/\/www.cboe.com\/micro\/VIX\/vixwhite.pdf."},{"key":"R11","unstructured":"Chicago Board of Options Exchange,\n                      CBOE Margin Manual\n                      , CBOE, 2000; available online from http:\/\/www.cboe.com\/LearnCenter\/pdf\/margin2-00.pdf."},{"key":"R12","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00083"},{"key":"R13","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00047"},{"key":"R14","doi-asserted-by":"publisher","DOI":"10.1214\/09-AAP642"},{"key":"R15","doi-asserted-by":"crossref","unstructured":"A. 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Osajima,\n                      General asymptotics of Wiener functionals and application to mathematical finance\n                      , http:\/\/ssrn.com\/abstract=1019587, 2007.","DOI":"10.2139\/ssrn.1019587"},{"key":"R24","doi-asserted-by":"publisher","DOI":"10.1137\/090764578"},{"key":"R25","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050076"},{"key":"R26","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00038"},{"key":"R27","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2009.01.002"},{"key":"R28","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1035228003"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/100786678","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:45:11Z","timestamp":1787319911000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/100786678"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,1]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"alternative-id":["10.1137\/100786678"],"URL":"https:\/\/doi.org\/10.1137\/100786678","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,1]]}}}