Before revision: In this paper we investigate model-independent bounds for exotic options written on a risky asset using infinite-dimensional linear programming methods. Using 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  .
After revision: 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 .