- Working Paper
Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of càdlàg functions possessing a mild restriction on the jumps directed downwards. In particular, this result includes the existence of quadratic variation of "typical price paths" in the space of non-negative càdlàg paths and implies the existence of quadratic variation in the sense of Föllmer quasi surely under all martingale measures. Based on the robust existence of the quadratic variation, a model-free Itô integration is developed. Show more
Journal / seriesarXiv
Pages / Article No.
SubjectCàdlàg path; Model-independent finance; Quadratic variation; Pathwise stochastic calculus; Stochastic integration; Vovk’s Outer Measure
Organisational unit03845 - Teichmann, Josef / Teichmann, Josef
163014 - Regularity structures in mathematical Finance (SNF)
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