Model-independent bounds for option prices - a mass transport approach
نویسندگان
چکیده
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 MongeKantorovich 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.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 17 شماره
صفحات -
تاریخ انتشار 2013