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...

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both...

We define the concept of conditional dominance and use it for the obtention of bounds on the edging prices of random variables. These bounds depend only on the characteristics of the financial market and the random variables to hedge. Moreover, they are coherent with equilibrium and tighter than...