Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, … - In: Finance and Stochastics 17 (2013) 3, pp. 477-501
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...