Integration with respect to model-free price paths with jumps

Abstract

For every adapted, càglàd process (strategy) $G$ and typical càdlàg price paths whose jumps satisfy some mild growth condition we define integral $G\cdot S$ as a limit of simple integrals.

This paper has been withdrawn by the author since the result contained in the paper is now presented in more comprehensive paper arxiv:1609.02349

Cited by in corpus (2)

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