Self-dual continuous processes

Thorsten Rheinl\"ander and Michael Schmutz

Papers from arXiv.org

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

Date: 2012-01
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