This paper deals with the stability of the intersection of a given set <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$ X\subset \mathbb{R}^{n}$$</EquationSource> </InlineEquation>with the solution, <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$F\subset \mathbb{R}^{n}$$</EquationSource> </InlineEquation>, of a given linear system whose coefficients can be arbitrarily perturbed. In the optimization context, the fixed constraint set X can be the...</equationsource></inlineequation></equationsource></inlineequation>

Static hedge portfolios for barrier options are extremely sensitive with respect to changes of the volatility surface. In this paper we develop a semi-infinite programming formulation of the static super-replication problem in stochastic volatility models which allows to robustify the hedge...