Model-independent bounds for option prices—a mass transport approach

Author:

Beiglböck Mathias,Henry-Labordère Pierre,Penkner Friedrich

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference37 articles.

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2. Albrecher, H., Mayer, P.A., Schoutens, W.: General lower bounds for arithmetic Asian option prices. Appl. Math. Finance 15, 123–149 (2008)

3. Lecture Notes in Mathematics;L. Ambrosio,2003

4. Beiglböck, M., Juillet, N.: On a problem of optimal transport under marginal martingale constraints. arXiv:1208.1509 (2012)

5. Bergomi, L.: Smile dynamics II. Risk 18, 67–73 (2005)

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