Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
Imamura, Yuri · Takagi, Katsuya
Original · EN
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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