Static super-replicating strategies for a class of exotic options

@inproceedings{Deelstra2008StaticSS,
  title={Static super-replicating strategies for a class of exotic options},
  author={Chen X. Deelstra and Geert Dhaene and J. Vanmaele},
  year={2008}
}
In this paper, we investigate static super-replicating strategies for European-type call options written on a weighted sum of asset prices. This class of exotic options includes Asian options and basket options among others. We assume that there exists a market where the plain vanilla options on the different assets are traded and hence their prices can be observed in the market. Both the infinite market case (where prices of the plain vanilla options are available for all strikes) and the… CONTINUE READING

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