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  .
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 .
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using infinite-dimensional linear programming methods. Using
. Based on
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. In particular we prove that there is no duality gap