Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
Pricing of Securities
2012-11-09 v3 Probability
Abstract
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi-static hedge.
Keywords
Cite
@article{arxiv.1104.4548,
title = {Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion},
author = {Yuri Imamura and Katsuya Takagi},
journal= {arXiv preprint arXiv:1104.4548},
year = {2012}
}
Comments
Asia-Pacific Financial Markets, online first