On an optimization problem related to static super-replicating strategies

作者：

Highlights：

• We investigate three issues related to super-replicating strategies for options written on a weighted sum of asset prices.

• 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.

• The third issue is the study of the co-existence of the comonotonicity property and the martingale property.

摘要

•We investigate three issues related to super-replicating strategies for options written on a weighted sum of asset prices.•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.•The third issue is the study of the co-existence of the comonotonicity property and the martingale property.

论文关键词：Asian options,Basket options,Comonotonicity,Super-hedging strategies

论文评审过程：Received 14 July 2014, Available online 16 October 2014.

论文官网地址：https://doi.org/10.1016/j.cam.2014.10.003