摘要翻译：
结果表明，在二元Black-Scholes经济中，Margrabe型期权具有对称性，导致了相当普遍的障碍期权的半静态套期保值。其中一些结果被推广到用布朗从属关系得到的变体。为了增加某些货币期权套期保值工具的流动性，可以应用二元性原理在国外市场上建立套期保值，只使用欧式普通期权，有时还可以使用无风险债券。由于Black-Scholes经济中的半静态套期保值是精确的，因此可以很容易地导出某些障碍期权的封闭形式的估值公式。
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英文标题：
《Semi-static hedging for certain Margrabe type options with barriers》
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作者：
Michael Schmutz
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination. In order to increase the liquidity of the hedging instruments for certain currency options, the duality principle can be applied to set up hedges in a foreign market by using only European vanilla options sometimes along with a risk-less bond. Since the semi-static hedges in the Black-Scholes economy are exact, closed form valuation formulas for certain barrier options can be easily derived.
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PDF链接：
https://arxiv.org/pdf/0810.5146