Self-dual continuous processes

Thorsten Rheinländer and Michael Schmutz

Stochastic Processes and their Applications, 2013, vol. 123, issue 5, 1765-1779

Abstract: The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality.

Keywords: Self-duality; Symmetric processes; Ocone martingales; Semi-static hedging (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2013.01.008

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