Self-dual continuous processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Rheinlaender, Thorsten¹  Schmutz, Michael² 

[1] Vienna Univ Technol, A-1040 Vienna, Austria

[2] Univ Bern, Dept Math Stat & Actuarial Sci, CH-3012 Bern, Switzerland

关键词: Self-duality;    Symmetric processes;    Ocone martingales;    Semi-static hedging;   

DOI  :  10.1016/j.spa.2013.01.008

来源: Elsevier

【 摘 要 】

The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous conditionally quasi self-dual processes. Our main result is to give a characterization of continuous Ocone martingales via a strong version of self-duality. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free