Static super-replicating strategies for a class of exotic options

DOI10.1016/j.insmatheco.2008.01.002zbMath1141.91427OpenAlexW2067696123MaRDI QIDQ931201

Michèle Vanmaele, Jan Dhaene, Xinliang Chen, Griselda Deelstra

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.01.002

zbMATH Keywords

stochastic orderingcomonotonicityexotic optionsstatic super-replicating strategies

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20)

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