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
Hauptverfasser:	Imamura, Yuri, Takagi, Katsuya
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Economics and Finance Euclidean space Finance Hedging International Economics Macroeconomics/Monetary Economics//Financial Economics Symmetry
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