Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
AbstractOn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1104.4548.
Date of creation: Apr 2011
Date of revision: Oct 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
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