Rough paths in idealized financial markets. / Vovk, Vladimir.

2010.

Research output: Working paper

Published

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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 languageEnglish
Publication statusPublished - 3 May 2010
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

ID: 934612