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)
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