Model-independent bounds for option prices—a mass transport approach
AbstractIn 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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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 17 (2013)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91G - - - - - -
- 91G - - - - - -
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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