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 int...

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Bibliographic Details
Published in:Finance and stochastics 2013-07, Vol.17 (3), p.477-501
Main Authors: Beiglböck, Mathias, Henry-Labordère, Pierre, Penkner, Friedrich
Format: Article
Language:English
Subjects:
Analysis
Arbitrage
Assets
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Finance
Financial analysis
Hedging
Insurance
Linear programming
Management
Market prices
Mathematics
Mathematics and Statistics
Option pricing
Prices
Probability Theory and Stochastic Processes
Put & call options
Quantitative Finance
Risk
Securities prices
Statistics for Business
Studies
Transport
Transportation
Volatility
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