Integration with respect to model-free price paths with jumps

Rafa{\l} M. {\L}ochowski

Papers from arXiv.org

Abstract: For every adapted, c\`agl\`ad process (strategy) $G$ and typical c\`adl\`ag price paths whose jumps satisfy some mild growth condition we define integral $G\cdot S$ as a limit of simple integrals.

Date: 2015-11, Revised 2016-09
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