Model-independent Bounds for Option Prices: A Mass Transport Approach

Details Model-independent Bounds for Option Prices: A Mass Transport Approach Model-independent Bounds for Option Prices: A Mass Transport Approach

2011-06-29

arxiv.org/abs/1106.5929v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

In this paper we investigate model-independent bounds for exotic options
written on a risky asset using infinite-dimensional linear programming methods.
Using 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.

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