Rough paths in idealized financial markets. / Vovk, Vladimir.
2010.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 |
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.
ID: 934612