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

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  • Yuri Imamura
  • 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.

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    File URL: http://arxiv.org/pdf/1104.4548
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1104.4548.

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    Date of creation: Apr 2011
    Date of revision: Oct 2012
    Handle: RePEc:arx:papers:1104.4548

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    Web page: http://arxiv.org/

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