A generalized occupation time formula for continuous semimartingales
نویسندگان
چکیده
منابع مشابه
Generalized Continuous Frames for Operators
In this note, the notion of generalized continuous K- frame in a Hilbert space is defined. Examples have been given to exhibit the existence of generalized continuous $K$-frames. A necessary and sufficient condition for the existence of a generalized continuous $K$-frame in terms of its frame operator is obtained and a characterization of a generalized continuous $K$-frame for $ mathcal{H} $ wi...
متن کاملHedging variance options on continuous semimartingales
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process is a positive continuous semimartingale, we superreplicate and subreplicate variance options and forward-starting variance options, by dynamically trading the underlying asset, and statically holding European options. W...
متن کاملOptional decomposition for continuous semimartingales under arbitrary filtrations
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).
متن کاملInference for Continuous Semimartingales Observed at High Frequency
The copyright to this Article is held by the Econometric Society. It may be downloaded, printed and reproduced only for educational or research purposes, including use in course packs. No downloading or copying may be done for any commercial purpose without the explicit permission of the Econometric Society. For such commercial purposes contact the Office of the Econometric Society (contact inf...
متن کاملA Volume Formula for Generalized Hyperbolic Tetrahedra∗
A generalized hyperbolic tetrahedra is a polyhedron (possibly noncompact) with finite volume in hyperbolic space, obtained from a tetrahedron by the polar truncation at the vertices lying outside the space. In this paper it is proved that a volume formula for ordinary hyperbolic tetrahedra devised by J. Murakami and M. Yano can be applied to such ones. There are two key tools for the proof; one...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Studia Scientiarum Mathematicarum Hungarica
سال: 2010
ISSN: 0081-6906,1588-2896
DOI: 10.1556/sscmath.2009.1112