Local times for typical price paths and pathwise Tanaka formulas
نویسندگان
چکیده
منابع مشابه
Local times for typical price paths and pathwise Tanaka formulas
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is α-Hölder continuous for all α < 1/2. Additionally, we provide various generalizations of...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2015
ISSN: 1083-6489
DOI: 10.1214/ejp.v20-3534