Quadratic variation, p-variation and integration with applications to stock price modelling

Details Quadratic variation, p-variation and integration with applications to stock price modelling Quadratic variation, p-variation and integration with applications to stock price modelling

2001-08-13

arxiv.org/abs/math/0108090v1

Mathematics

Classical Analysis and ODEs

172 pages

Scientific paper

The paper develops a calculus for a class of real-valued functions having a
quadratic variation. The main result is a solution of the representation
problem for a class of evolutions having a quadratic variation. The result is
applied to build up an asset pricing model. Also in the paper there are some
results concerning an extension of the class of all semimartingales.

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