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q-fin.MF2025
Robust Hedging of path-dependent options using a min-max algorithm
Purba Banerjee, Srikanth Iyer, Shashi Jain
We consider an investor who wants to hedge a path-dependent option with maturity using a static hedging portfolio using cash, the underlying, and vanilla put/call options on th…
q-fin.MF2023
Multi-period static hedging of European options
Purba Banerjee, Srikanth Iyer, Shashi Jain
We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr…