paper
Model-independent Bounds for Option Prices: A Mass Transport Approach
Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner
Model-independent Bounds for Option Prices: A Mass Transport Approach
Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner
paper2011-06-29English
quantitative financearxiv
Description
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.
Similar Books
paper
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
Damon Civin
Quantitative mode stability for the wave equation on the Kerr-Newman spacetime
paper
Risk-Aware Objective-Based Forecasting in Inertia Management
Haipeng Zhang, Ran Li, Yan Chen, Zhongda Chu, Mingyang Sun
Risk-Aware Objective-Based Forecasting in Inertia Management
paper
Chainalysis: Geography of Cryptocurrency 2023
Chainalysis
Chainalysis: Geography of Cryptocurrency 2023
paper
Periodicity in Cryptocurrency Volatility and Liquidity
Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
Periodicity in Cryptocurrency Volatility and Liquidity
paper
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
Saeideh Sekhavat, Mostafa Jamshidian, Adam Wittek, Karol Miller
Impact of Geometric Uncertainty on the Computation of Abdominal Aortic Aneurysm Wall Strain
paper
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I
Getachew K. Befekadu
Simulation-based Bayesian inference with ameliorative learned summary statistics -- Part I