Rough paths in idealized financial markets

Vladimir Vovk

Rough paths in idealized financial markets

Vladimir Vovk

Research output: Working paper

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Abstract

This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.

Original language	English
Publication status	Published - 3 May 2010

Keywords

q-fin.GN
math.PR
q-fin.CP
60G44, 91G80

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Cite this

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