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. 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1106.5929.
Date of creation: Jun 2011
Date of revision: Feb 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor and Francis Journals, vol. 5(4), pages 329-342.
- Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M., 2008.
"Static super-replicating strategies for a class of exotic options,"
Insurance: Mathematics and Economics,
Elsevier, vol. 42(3), pages 1067-1085, June.
- Chen, Xinliang & Deelstra, G. & Dhaene, Jan & Vanmaele, M., 2008. "Static super-replicating strategies for a class of exotic options," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/199873, Katholieke Universiteit Leuven.
- Hobson, David & Laurence, Peter & Wang, Tai-Ho, 2005. "Static-arbitrage optimal subreplicating strategies for basket options," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 553-572, December.
- Marcel Nutz, 2013. "Superreplication under Model Uncertainty in Discrete Time," Papers 1301.3227, arXiv.org.
- Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2012. "Maximum Maximum of Martingales given Marginals," Papers 1203.6877, arXiv.org, revised Apr 2013.
- Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2013. "Maximum Maximum of Martingales given Marginals," Working Papers hal-00684005, HAL.
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