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. Finance and Stochastics, 17(3):477-501, 2013. [doi]

Authors

Mathias Beiglböck

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Pierre Henry-Labordère

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Friedrich Penkner

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