Asymptotics of the truncated variation of model-free price paths and\n semimartingales with jumps

2015/08/05 by Rafał M. Łochowski, Łochowski, Rafał M.
Economics, Econometrics and Finance · #60G17 #91G99 #FOS: Mathematics #Financial Markets and Investment Strategies #Monetary Policy and Economic Impact #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1508.01269

openalex publication_date 2015/08/05 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28

Abstract

We prove that typical (in the model-free finance setting) price paths with\njumps may be uniformly approximated with accuracy c>0 by paths whose total\nvariation is of order 1/c. A more precise result is obtained for\nsemimartingales with jumps.\n

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