Vovk, Vladimir (2010) Rough paths in idealized financial markets.
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This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.
This is a Submitted version This version's date is: 3/5/2010 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/ac715243-cdbb-e543-69c2-8c155c305115/2/
Deposited by Research Information System (atira) on 24-Jul-2012 in Royal Holloway Research Online.Last modified on 24-Jul-2012
11 pages