Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion

DOI10.1007/s10690-012-9159-7zbMath1282.91331arXiv1104.4548OpenAlexW2081986144MaRDI QIDQ1945440

Yuri Imamura, Katsuya Takagi

Publication date: 8 April 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4548

zbMATH Keywords

reflection groupbarrier optionsemi-static hedgingput-call symmetry

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ On a symmetrization of diffusion processes ⋮ Symmetrization associated with hyperbolic reflection principle

Cites Work

• A remark on static hedging of options written on the last exit time
• Coincidence probabilities
• Littelmann paths and Brownian paths
• Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
• Semi-static hedging for certain Margrabe-type options with barriers
• Barrier options and their static hedges: simple derivations and extensions
• Multivariate Extension of Put-Call Symmetry
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
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