How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost

DOI10.1137/20m1358670zbMath1522.91241OpenAlexW4385721186MaRDI QIDQ6048447

Publication date: 14 September 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1358670

zbMATH Keywords

noise stock price risk volatility rough differential equations rough path theory no-arbitrage expected return rough path lifts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05) Financial markets (91G15)

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