On an optimization problem related to static super-replicating strategies

Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Pages (from-to)213-230
Number of pages18
JournalJournal of Computational and Applied Mathematics
StatePublished - Apr 15 2015
Externally publishedYes


  • Asian options
  • Basket options
  • Comonotonicity
  • Super-hedging strategies

ASJC Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics


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