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Local times for typical price paths and pathwise Tanaka formulas

Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is $\alpha$-H\"older continuous for all $\alpha<1/2$. Additionally, we provide various generalizations of F\"ollmer's pathwise It\^o formula.
Year of publication:
2014-05
Authors: Perkowski, Nicolas ; David J. Pr\"omel
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Electron. J. Probab. 20 (2015), no. 46, 1-15
Source:
Persistent link: https://www.econbiz.de/10011264739
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