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 investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is...