Maruhn, Jan; Nalholm, Morten; Fengler, Matthias - In: Quantitative Finance 11 (2011) 5, pp. 711-727
We conduct an empirical evaluation of a static super-replicating hedge of barrier options. The hedge is robust to uncertainty about the future skew. Using almost seven years of current data on the DAX, we evaluate the performance of the hedge and compare it with those of both a dynamic and a...