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arXiv · 1201.6516

Self-dual continuous processes

Thorsten Rheinländer·Michael Schmutz
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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.

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Thorsten Rheinländer, Michael Schmutz. 2012-01-31. Self-dual continuous processes. https://arxiv.org/abs/1201.6516

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