Asymptotics of the truncated variation of model-free price paths and semimartingales with jumps

Rafał M. Łochowski

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arXiv · 1508.01269

Asymptotics of the truncated variation of model-free price paths and semimartingales with jumps

Rafał M. Łochowski

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Abstract

We prove that typical (in the model-free finance setting) price paths with jumps may be uniformly approximated with accuracy $c>0$ by paths whose total variation is of order $1/c.$ A more precise result is obtained for semimartingales with jumps.

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Rafał M. Łochowski. 2015-08-06. Asymptotics of the truncated variation of model-free price paths and semimartingales with jumps. https://arxiv.org/abs/1508.01269

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