Robust Hedging of path-dependent options using a min-max algorithm

Purba Banerjee, Srikanth Iyer and Shashi Jain

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Abstract: We consider an investor who wants to hedge a path-dependent option with maturity $T$ using a static hedging portfolio using cash, the underlying, and vanilla put/call options on the same underlying with maturity $ t_1$, where $0

Date: 2025-11
New Economics Papers: this item is included in nep-mac and nep-rmg
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