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We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a modelindependent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a… (More)

- Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner
- Finance and Stochastics
- 2013

In this paper we investigate model-independent bounds for exotic options written on a risky asset using infinite-dimensional linear programming methods. Based on arguments from the theory of MongeKantorovich 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… (More)

We present a unified approach to Doob’s Lp maximal inequalities for 1 ≤ p < ∞. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging. Moreover our deterministic inequalities lead to new versions of Doob’s… (More)

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