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

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

2011-04-23

arxiv.org/abs/1104.4548v2

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

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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