Self-dual continuous processes
Probability
2012-02-01 v1 General Finance
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.
Cite
@article{arxiv.1201.6516,
title = {Self-dual continuous processes},
author = {Thorsten Rheinländer and Michael Schmutz},
journal= {arXiv preprint arXiv:1201.6516},
year = {2012}
}