Local times for typical price paths and pathwise Tanaka formulas
Prömel, David J.; Perkowski, Nicolas (2014), Local times for typical price paths and pathwise Tanaka formulas. https://basepub.dauphine.fr/handle/123456789/13378
TypeDocument de travail / Working paper
External document linkhttp://arxiv.org/pdf/1405.4421.pdf
MetadataShow full item record
Abstract (EN)Following a hedging based approach to model free financial mathema tics, we prove that it is 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 of finite p -variation for all p > 2. Additionally, we provide various generalizations of F ̈ollmer’s pathwise Itˆo formula.
Subjects / KeywordsTanaka formula; Model uncertainty; Local times; Itô formula
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