Model-independent Bounds for Option Prices: A Mass Transport Approach
Pricing of Securities
2013-02-15 v2 Optimization and Control
Computational Finance
Abstract
In 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.
Cite
@article{arxiv.1106.5929,
title = {Model-independent Bounds for Option Prices: A Mass Transport Approach},
author = {Mathias Beiglböck and Pierre Henry-Labordère and Friedrich Penkner},
journal= {arXiv preprint arXiv:1106.5929},
year = {2013}
}
Comments
Finance and Stochastics