2000 character limit reached
Local times for typical price paths and pathwise Tanaka formulas (1405.4421v2)
Published 17 May 2014 in math.PR and q-fin.MF
Abstract: 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 $\alpha$-H\"older continuous for all $\alpha<1/2$. Additionally, we provide various generalizations of F\"oLLMer's pathwise It^o formula.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
