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- W2765785563 abstract "We prove that the model-free typical (in the sense of Vovk) càdlàg price paths with mildly restricted downward jumps possess quadratic variation, which does not depend on the specific sequence of partitions as long as these partitions are obtained from stopping times such that the oscillations of a path on the consecutive (half-open on the right) intervals of these partitions tend (in a specified sense) to 0. Finally, we also define quasi-explicit, partition-independent quantities that tend to this quadratic variation." @default.
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- W2765785563 date "2018-04-01" @default.
- W2765785563 modified "2023-10-15" @default.
- W2765785563 title "On the quadratic variation of the model-free price paths with jumps" @default.
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- W2765785563 doi "https://doi.org/10.1007/s10986-018-9395-2" @default.
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