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arxiv: 1106.5929 · v2 · pith:DF6AXRPRnew · submitted 2011-06-29 · 💱 q-fin.PR · math.OC· q-fin.CP

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

Mathias Beiglb\"ock , Pierre Henry-Labord\`ere , Friedrich Penkner This is my paper
classification 💱 q-fin.PR math.OCq-fin.CP
keywords boundsmodel-independentapproachargumentsassetdualdualityestablish
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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.

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