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