Thumbnail - No thumbnail

Local times for typical price paths and pathwise Tanaka formulas

Prömel, David J.; Perkowski, Nicolas (2014), Local times for typical price paths and pathwise Tanaka formulas. https://basepub.dauphine.fr/handle/123456789/13378

Type
Document de travail / Working paper
External document link
http://arxiv.org/pdf/1405.4421.pdf
Date
2014
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
16
Metadata
Show full item record
Author(s)
Prömel, David J.
Perkowski, Nicolas
Abstract (EN)
Following a hedging based approach to model free financial mathema tics, we prove that it is possible to make an arbitrarily large profit by investing in those one -dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is of finite p -variation for all p > 2. Additionally, we provide various generalizations of F ̈ollmer’s pathwise Itˆo formula.
Subjects / Keywords
Tanaka formula; Model uncertainty; Local times; Itô formula