%0 Journal Article
%T Self-dual continuous processes
%A Thorsten Rheinl£¿nder
%A Michael Schmutz
%J Quantitative Finance
%D 2012
%I arXiv
%X 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.
%U http://arxiv.org/abs/1201.6516v1