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arxiv: 1201.6516 · v1 · pith:GBTCAEBUnew · submitted 2012-01-31 · 🧮 math.PR · q-fin.GN

Self-dual continuous processes

classification 🧮 math.PR q-fin.GN
keywords continuousprocessesself-dualquasiapplicationcharacterisationfinancialgive
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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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