We present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options under various stochastic volatility models. Moreover, it is shown that the obtained hedge is optimal in some sense. The strategy is based on stop-loss transforms and comonotonicity theory. The numerical implementation is based on the Fast Fourier transform. We illustrate the hedging performance for several models calibrated to market data and compare the results with other (trivial) static super-hedging strategies.