Local times for typical price paths and pathwise Tanaka formulas

Nicolas Perkowski and David J. Pr\"omel

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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

Date: 2014-05, Revised 2015-04
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Citations: View citations in EconPapers (8)

Published in Electron. J. Probab. 20 (2015), no. 46, 1-15

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