Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
classification
💱 q-fin.PR
math.PR
keywords
reflectiongeneralizedprinciplesemi-staticactingapplybarrierblack-scholes
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.