On an optimization problem related to static super-replicating strategies

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:278

Article

Chen, Xinliang¹  Deelstra, Griselda²  Dhaene, Jan³  Linders, Daniel³  Vanmaele, Michele⁴ 

[1] ING, Brussels, Belgium

[2] Univ Libre Bruxelles, Brussels, Belgium

[3] Katholieke Univ Leuven, Leuven, Belgium

[4] Univ Ghent, B-9000 Ghent, Belgium

关键词: Asian options;    Basket options;    Comonotonicity;    Super-hedging strategies;   

DOI  :  10.1016/j.cam.2014.10.003

来源: Elsevier

【 摘 要 】

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 exotic 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. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free