Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
On a multi-assets Black-Scholes economy, we introduce a class of barrier options, where the knock-out boundary is a cone. 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...
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| Veröffentlicht in: | Asia-Pacific financial markets 2013-03, Vol.20 (1), p.71-81 |
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| creator | Imamura, Yuri Takagi, Katsuya |
| description | On a multi-assets Black-Scholes economy, we introduce a class of barrier options, where the knock-out boundary is a cone. 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. The result is a multi-dimensional generalization of the
put-call symmetry
by Bowie and Carr (Risk (7):45–49,
1994
), Carr and Chou (Risk 10(9):139–145,
1997
), etc. The important implication of our result is that with a given volatility matrix structure of the multi-assets, one can design a multi-barrier option and a system of plain options, with the latter the former is statically hedged. |
| doi_str_mv | 10.1007/s10690-012-9159-7 |
| format | Article |
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put-call symmetry
by Bowie and Carr (Risk (7):45–49,
1994
), Carr and Chou (Risk 10(9):139–145,
1997
), etc. The important implication of our result is that with a given volatility matrix structure of the multi-assets, one can design a multi-barrier option and a system of plain options, with the latter the former is statically hedged.</description><identifier>ISSN: 1387-2834</identifier><identifier>EISSN: 1573-6946</identifier><identifier>DOI: 10.1007/s10690-012-9159-7</identifier><language>eng</language><publisher>Japan: Springer Japan</publisher><subject>Brownian motion ; Econometrics ; Economic Theory/Quantitative Economics/Mathematical Methods ; Economics and Finance ; Euclidean space ; Finance ; Hedging ; International Economics ; Macroeconomics/Monetary Economics//Financial Economics ; Symmetry</subject><ispartof>Asia-Pacific financial markets, 2013-03, Vol.20 (1), p.71-81</ispartof><rights>Springer Science+Business Media New York 2012</rights><rights>Springer Science+Business Media New York 2013</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c446t-dd773830ecbc1bbdc878f9009e24086596be7f5ea5f3f4c29da0ae65a6c288a13</citedby><cites>FETCH-LOGICAL-c446t-dd773830ecbc1bbdc878f9009e24086596be7f5ea5f3f4c29da0ae65a6c288a13</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s10690-012-9159-7$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s10690-012-9159-7$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,776,780,27901,27902,41464,42533,51294</link.rule.ids></links><search><creatorcontrib>Imamura, Yuri</creatorcontrib><creatorcontrib>Takagi, Katsuya</creatorcontrib><title>Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion</title><title>Asia-Pacific financial markets</title><addtitle>Asia-Pac Financ Markets</addtitle><description>On a multi-assets Black-Scholes economy, we introduce a class of barrier options, where the knock-out boundary is a cone. 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. The result is a multi-dimensional generalization of the
put-call symmetry
by Bowie and Carr (Risk (7):45–49,
1994
), Carr and Chou (Risk 10(9):139–145,
1997
), etc. The important implication of our result is that with a given volatility matrix structure of the multi-assets, one can design a multi-barrier option and a system of plain options, with the latter the former is statically hedged.</description><subject>Brownian motion</subject><subject>Econometrics</subject><subject>Economic Theory/Quantitative Economics/Mathematical Methods</subject><subject>Economics and Finance</subject><subject>Euclidean space</subject><subject>Finance</subject><subject>Hedging</subject><subject>International Economics</subject><subject>Macroeconomics/Monetary Economics//Financial Economics</subject><subject>Symmetry</subject><issn>1387-2834</issn><issn>1573-6946</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNp1kEFLAzEQhYMoWKs_wFvAczTJ7ibZo63aChbF6jmk2UlJ2WZrskX015uyHrx4mmHe-4aZh9Alo9eMUnmTGBU1JZRxUrOqJvIIjVglCyLqUhznvlCScFWUp-gspQ3NTCn4CLklbD1Z9qb3Fs-hWfuwxhOToMFdwAbPIEA0rf_Og1dwLdjeZ-El-mD9roXBtdi3vcd3fgshZdm0eBK7z-BNwIvuAJyjE2faBBe_dYzeH-7fpnPy9Dx7nN4-EVuWoidNI2WhCgp2Zdlq1VgllasprYGXVImqFiuQrgJTucKVlteNoQZEZYTlShlWjNHVsHcXu489pF5vun3MByXN8vcV5zKXMWKDy8YupQhO76LfmvilGdWHOPUQp85x6kOcWmaGD0zK3rCG-Gfzv9APIAt4Tg</recordid><startdate>20130301</startdate><enddate>20130301</enddate><creator>Imamura, Yuri</creator><creator>Takagi, Katsuya</creator><general>Springer Japan</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7RO</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8AI</scope><scope>8AO</scope><scope>8FE</scope><scope>8FG</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>ARAPS</scope><scope>AXJJW</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FREBS</scope><scope>FRNLG</scope><scope>F~G</scope><scope>GNUQQ</scope><scope>HCIFZ</scope><scope>JQ2</scope><scope>K60</scope><scope>K6~</scope><scope>K7-</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M1F</scope><scope>P5Z</scope><scope>P62</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope></search><sort><creationdate>20130301</creationdate><title>Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion</title><author>Imamura, Yuri ; 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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. The result is a multi-dimensional generalization of the
put-call symmetry
by Bowie and Carr (Risk (7):45–49,
1994
), Carr and Chou (Risk 10(9):139–145,
1997
), etc. The important implication of our result is that with a given volatility matrix structure of the multi-assets, one can design a multi-barrier option and a system of plain options, with the latter the former is statically hedged.</abstract><cop>Japan</cop><pub>Springer Japan</pub><doi>10.1007/s10690-012-9159-7</doi><tpages>11</tpages></addata></record> |
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| subjects | Brownian motion Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Economics and Finance Euclidean space Finance Hedging International Economics Macroeconomics/Monetary Economics//Financial Economics Symmetry |
| title | Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion |
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