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math.PR2025
The It{ô}-Föllmer formula -- nonstandard cases
W. M. Bednorz, R. M. Łochowski, P. L. Zondi +2
The purpose of this note is to prove the It{ô}-Föllmer formula for the càdlàg paths possessing quadratic variation in a possibly ``weakest'' sense along some sequence of partitions…
math.PR2025
Sensitivity analysis of path-dependent options in an incomplete market with pathwise functional Ito calculus
Siboniso Confrence Nkosi, Farai Julius Mhlanga
Functional It^o calculus is based on an extension of the classical It^o calculus to functionals depending on the entire past evolution of the underlying paths and not only on its c…