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Mathematics  2015 

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

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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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