Integration with respect to model-free price paths with jumps
Mathematical Finance
2016-09-12 v3
Abstract
For every adapted, c\`agl\`ad process (strategy) and typical c\`adl\`ag price paths whose jumps satisfy some mild growth condition we define integral as a limit of simple integrals.
Keywords
Cite
@article{arxiv.1511.08194,
title = {Integration with respect to model-free price paths with jumps},
author = {Rafał M. Łochowski},
journal= {arXiv preprint arXiv:1511.08194},
year = {2016}
}
Comments
This paper has been withdrawn by the author since the result contained in the paper is now presented in more comprehensive paper arxiv:1609.02349