Imamura, Yuri; Takagi, Katsuya - In: Asia-Pacific Financial Markets 20 (2013) 1, pp. 71-81
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...