|
Abstract
|
It is well known that sufficiently regular one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and lots of vanilla options. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. In the one-dimensional case, some regularity aspects related to static hedges will be discussed. Furthermore, and in particular, so-called quasi self-dual processes, which have applications in semi-static hedging of certain path dependent options, will be analysed. A main focus will be on some well-known Lévy driven models.
|