Model-independent Bounds for Option Prices: A Mass Transport Approach
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References listed on IDEAS
- David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor & 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.
- 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.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
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