Integration with respect to model-free price paths with jumps

Rafał M. Łochowski

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arXiv · 1511.08194

Integration with respect to model-free price paths with jumps

Rafał M. Łochowski

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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.

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Rafał M. Łochowski. 2016-09-09. Integration with respect to model-free price paths with jumps. https://arxiv.org/abs/1511.08194

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