On an Optimization Problem Related to Static Super-Replicating Strategies

Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniil Linders, Michhle Vanmaele
2014 Social Science Research Network  
In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008) . Three issues are investigated. The first issue is the (non-)uniqueness of the optimal solution. The second issue is the generalization to an optimization problem where the weights may be random. This theory is then applied to static super-replication strategies for some
more » ... options in a stochastic interest rate setting. The third issue is the study of the co-existence of the comonotonicity property and the martingale property.
doi:10.2139/ssrn.2436027 fatcat:2atlixobpfe3plkaqye357m77u