Self-dual continuous processes
AbstractThe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.6516.
Date of creation: Jan 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
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