ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES

DOI10.1142/S0219024913500386zbMath1281.91174OpenAlexW2150334228MaRDI QIDQ2862515

Yukihiro Tsuzuki

Publication date: 15 November 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500386

zbMATH Keywords

super-replicationsuper-hedgingmodel-independentsub-hedgingsub-replication

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Static-arbitrage optimal subreplicating strategies for basket options
• Static super-replicating strategies for a class of exotic options
• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
• The concept of comonotonicity in actuarial science and finance: theory.
• Static arbitrage bounds on basket option prices
• Robust Hedging of Barrier Options
• Static-arbitrage upper bounds for the prices of basket options
• Static Replication of Forward-Start Claims and Realized Variance Swaps
• ROBUST BOUNDS FOR FORWARD START OPTIONS

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