Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
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基于多维布朗运动广义反射原理的半静态套期保值
DOI：
10.1007/s10690-012-9159-7
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发表时间：
2013
影响因子：
1.7
通讯作者：
Katsuya Takagi
中科院分区：
文献类型：
--
作者：
Yuri Imamura;Katsuya Takagi
在多资产Black-Scholes经济中，我们引入了一类障碍期权，其中淘汰边界是一个圆锥。在这个模型中，我们应用广义反射原理，在有限反射群作用于欧氏空间的背景下，给出了一个估值公式和半静态套期保值。该结果是Bowie和卡尔（Risk（7）：45-49，1994），卡尔和周（Risk 10（9）：139-145，1997）等提出的看跌-看涨期权模型的多维推广。
On a multi-assets Black-Scholes economy, we introduce a class of barrier options, where the knock-out boundary is a cone. 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. The result is a multi-dimensional generalization of theput-call symmetryby Bowie and Carr (Risk (7):45–49, 1994), Carr and Chou (Risk 10(9):139–145, 1997), etc. The important implication of our result is that with a given volatility matrix structure of the multi-assets, one can design a multi-barrier option and a system of plain options, with the latter the former is statically hedged.