Self-dual continuous processes
| Data(s) |
01/05/2013
|
|---|---|
| Resumo |
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. |
| Formato |
application/pdf |
| Identificador |
http://boris.unibe.ch/41522/1/__ubnetapp02_user%24_brinksma_Downloads_self-dual.pdf 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 <http://dx.doi.org/10.1016/j.spa.2013.01.008> doi:10.7892/boris.41522 info:doi:10.1016/j.spa.2013.01.008 urn:issn:0304-4149 |
| Idioma(s) |
eng |
| Publicador |
Elsevier |
| Relação |
http://boris.unibe.ch/41522/ http://www.sciencedirect.com/science/article/pii/S0304414913000173 |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
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 <http://dx.doi.org/10.1016/j.spa.2013.01.008> |
| Palavras-Chave | #510 Mathematics |
| Tipo |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion PeerReviewed |
