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Semi-static Hedging Based On A Generalized Reflection Principle On A Multi Dimensional Brownian Motion

On a multi-assets Black-Scholes economy, the authors introduce a class of barrier options. In this model, they 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. In this paper, they introduce a class of barrier options (knocked-in and knocked-out options) on a multi-assets Black-Scholes economy and give a semi-static hedging technique based on a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space. A semi-static hedging strategy will be obtained from an equation between the value of barrier options and that of path-independent options.

Provided by: Cornell University Topic: Big Data Date Added: Apr 2011 Format: PDF

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