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Symmetric processes and Ocone martingales

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In a recent paper, Mike Tehranchi provided a link between continuous symmetric martingales and the self-duality property of their stochastic exponentials. We explore this link further by providing a characterization of Ocone martingales in terms of certain associated stochastic exponentials. Moreover, we discuss quasi self-dual processes which have received attention in connection with semi-static hedges of barrier options. Joint work with Michael Schmutz.

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Homerton College, Mary Allan Building, Bouling 8 & 9, Hills Road, Cambridge, CB2 8PQ Zoom or Lecture Theatre 2, Department of Veterinary Medicine Berridge Room, Department of Radiology, Addenbrookes Hospital, Level 5, Hills Road, Cambridge UK, Post Code CB2 0QQ

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