On an optimization problem related to static super-replicating strategies

Xinliang Chen ^[3] ; Griselda Deelstra ^[1] ; Jan Dhaene ^[2] ; Daniël Linders ^[2] ; Michèle Vanmaele ^[4]
1. [1] Université Libre de Bruxelles
  
  Université Libre de Bruxelles
  
  Arrondissement Brussel-Hoofdstad, Bélgica
2. [2] KU Leuven
  
  KU Leuven
  
  Arrondissement Leuven, Bélgica
3. [3] ING, Brussels, (Belgium)
4. [4] University of Ghent (Belgium)
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Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 278, Nº 1 (15 April 2015), 2015, págs. 213-230
Idioma: inglés
DOI: 10.1016/j.cam.2014.10.003
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Resumen
- 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.