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- W3123830907 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." @default.
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- W3123830907 date "2013-02-01" @default.
- W3123830907 modified "2023-09-27" @default.
- W3123830907 title "Model-independent Bounds for Option Prices: A Mass Transport Approach" @default.
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