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Asymptotics of the truncated variation of model-free price paths and semimartingales with jumps
Published 6 Aug 2015 in math.PR | (1508.01269v4)
Abstract: We prove that typical (in the model-free finance setting) price paths with jumps may be uniformly approximated with accuracy $c>0$ by paths whose total variation is of order $1/c.$ A more precise result is obtained for semimartingales with jumps.
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