Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as...

We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor...

In this paper, we focus on model-free pricing and robust hedging of options depending on the local time, consistent with Vanilla options. This problem is classically approached by means of the Skorokhod embedding problem (SEP), which consists in representing a given probability on the real line...

I examine accuracy and robustness of European spread option pricing method of Hurd and Zhou (2010) for European spread options. This method approximates an indefinite bivariate integral by a sum over a uniform grid and the method's accuracy varies greatly depending on the choice of truncation...

This paper provides model-independent lower bounds for prices of arithmetic Asian options expressed through prices of European call options on the same underlying that are assumed to be observable in the market, and the corresponding subreplicating strategy is identified. The first bound relies...