Self-dual continuous processes (Q1947605)

A hedging strategy is called semi-static when trading takes place at inception and at a finite number of stopping times, e.g. hitting times of barriers. It is well known by now that one can semi-statically hedge path-dependent derivatives, e.g. barrier options, using European options. However, in order to implement this strategy the asset price process should satisfy a certain symmetry property known as self-duality. This paper is devoted to the study of stochastic processes with continuous paths that are self-dual. In particular, the authors provide a structural characterization of continuous semimartingales that are conditionally (quasi) self-dual. Moreover, they prove that a continuous martingale is an Ocone martingale if and only if its stochastic exponential is strongly self-dual.