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Integration with respect to model-free price paths with jumps

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  • Rafa{l} M. {L}ochowski

Abstract

For every adapted, c\`agl\`ad process (strategy) $G$ and typical c\`adl\`ag price paths whose jumps satisfy some mild growth condition we define integral $G\cdot S$ as a limit of simple integrals.

Suggested Citation

  • Rafa{l} M. {L}ochowski, 2015. "Integration with respect to model-free price paths with jumps," Papers 1511.08194, arXiv.org, revised Sep 2016.
    • Handle: RePEc:arx:papers:1511.08194
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    References listed on IDEAS

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    1. Vladimir Vovk, 2012. "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, vol. 16(4), pages 561-609, October.
    2. Nicolas Perkowski & David J. Promel, 2014. "Local times for typical price paths and pathwise Tanaka formulas," Papers 1405.4421, arXiv.org, revised Apr 2015.
    3. Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
    4. Vladimir Vovk, 2010. "Rough paths in idealized financial markets," Papers 1005.0279, arXiv.org, revised Nov 2016.
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    Cited by:

    1. Vladimir Vovk, 2015. "Purely pathwise probability-free Ito integral," Papers 1512.01698, arXiv.org, revised Jun 2016.

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