{"paper":{"title":"Quasi self-dual exponential L\\'evy processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.RM","authors_text":"Michael Schmutz, Thorsten Rheinl\\\"ander","submitted_at":"2012-01-24T21:31:01Z","abstract_excerpt":"The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\\'evy processes such that the resulting market does not admit arbitrage opportunities. We derive a set of equivalent conditions for the stochastic logarithm of quasi self-dual martingale models and derive a further characterization of these models not depending on the L\\'evy-Khintchine parametrization. Since for non-vanishing order parameter two martingale properties have "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1201.5132","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}