Vovk, Vladimir (2011) Ito calculus without probability in idealized financial markets.
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We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical pricepaths, where the qualification "typical" means that there is a trading strategy that risks only one monetary unit and brings infinite capital if quadratic variation does not exist. This result allows one to apply numerous known results in pathwise Ito calculus to typical price paths; we give a brief overview of such results.
This is a Submitted version This version's date is: 3/8/2011 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/9ca8c1b5-e651-9420-34a0-a8afc5ae620f/6/
Deposited by Research Information System (atira) on 22-Jul-2014 in Royal Holloway Research Online.Last modified on 22-Jul-2014
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