Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

Yuri Imamura and Katsuya Takagi

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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.

Date: 2011-04, Revised 2012-10
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1104.4548

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