Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion
From MaRDI portal
Publication:1945440
DOI10.1007/s10690-012-9159-7zbMath1282.91331arXiv1104.4548MaRDI QIDQ1945440
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
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
On a symmetrization of diffusion processes, Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\), Symmetrization associated with hyperbolic reflection principle
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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