Optimization of joint $p$-variations of Brownian semimartingales
Work
Year: 2014
Type: article
Abstract: We study the optimization of the joint $(p^Y,p^Z)$-variations of two continuous semimartingales $(Y,Z)$ driven by the same Itô process $X$. The $p$-variations are defined on random grids made of finit... more
Authors Emmanuel Gobet, Nicolas Landon
Institution École Polytechnique
Cites: 13
Cited by: 1
Related to: 10
FWCI:
Citation percentile (by year/subfield): 52.46
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $675