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
Volume (Year): 17 (2013)
Issue (Month): 3 (July)
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