Model-free price bounds under dynamic option trading
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Abstract: In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model-independent super-replication prices of exotic derivatives. These include duality results as well as a precise characterization of pricing rules for the dynamically tradable options triggering an improvement of the price bounds for exotic derivatives in comparison with the conventional price bounds obtained through the martingale optimal transport approach.
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Cites work
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- scientific article; zbMATH DE number 1240224 (Why is no real title available?)
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Cited in
(12)- Arbitrage-free market models for option prices: the multi-strike case
- Model-independent superhedging under portfolio constraints
- Robust bounds for derivative prices in Markovian models
- scientific article; zbMATH DE number 5287151 (Why is no real title available?)
- Model-independent bounds for option prices -- a mass transport approach
- Consistent upper price bounds for exotic options
- Robust deep hedging
- On the improvement of robust price bounds
- On intermediate marginals in martingale optimal transportation
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Neural networks can detect model-free static arbitrage strategies
- The McCormick martingale optimal transport
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