Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
arXiv:1104.4548 · doi:10.1007/s10690-012-9159-7
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.
Asia-Pacific Financial Markets, online first