Rheinländer, Thorsten; Schmutz, Michael (2013). Self-dual continuous processes. Stochastic processes and their applications, 123(5), pp. 1765-1779. Elsevier 10.1016/j.spa.2013.01.008
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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.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Schmutz, Michael |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
0304-4149 |
Publisher: |
Elsevier |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
12 Mar 2014 09:37 |
Last Modified: |
05 Dec 2022 14:28 |
Publisher DOI: |
10.1016/j.spa.2013.01.008 |
BORIS DOI: |
10.7892/boris.41522 |
URI: |
https://boris.unibe.ch/id/eprint/41522 |
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