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      Integration with respect to model-free price paths with jumps

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          Abstract

          For every adapted, c\`agl\`ad process (strategy) \(G\) and typical c\`adl\`ag 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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          Author and article information

          Journal
          2015-11-25
          2016-09-09
          Article
          1511.08194
          656dca14-6b5c-4504-918e-4cb63ddddfdb

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

          History
          Custom metadata
          60H05
          This paper has been withdrawn by the author since the result contained in the paper is now presented in more comprehensive paper arxiv:1609.02349
          q-fin.MF

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