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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

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.

Suggested Citation

  • Yuri Imamura & Katsuya Takagi, 2011. "Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion," Papers 1104.4548, arXiv.org, revised Oct 2012.
  • Handle: RePEc:arx:papers:1104.4548
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    File URL: http://arxiv.org/pdf/1104.4548
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