Model-independent bounds for option prices—a mass transport approach

In this paper we investigate model-independent bounds for exotic options written on a risky asset using infinite-dimensional linear programming methods. Based on arguments from the theory of Monge–Kantorovich mass transport, we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that there is no duality gap. Copyright Springer-Verlag Berlin Heidelberg 2013

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Year of publication:	2013
Authors:	Beiglböck, Mathias ; Henry-Labordère, Pierre ; Penkner, Friedrich
Published in:	Finance and Stochastics. - Springer. - Vol. 17.2013, 3, p. 477-501
Publisher:	Springer
Subject:	Model-independent pricing \| Monge–Kantorovich transport problem \| Option arbitrage \| Robust superreplication theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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