Pierre Henry-Labordère

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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 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(More)
By investigating model-independent bounds for exotic options in financial mathematics , a martingale version of the Monge-Kantorovich mass transport problem was introduced in [3, 24]. Further, by suitable adaptation of the notion of cyclical mono-tonicity, [4] obtained an extension of the one-dimensional Brenier's theorem to the present martingale version.(More)
VIX options traded on the CBOE have become popular volatility derivatives. As S&P 500 vanilla options and VIX both depend on S&P 500 volatility dynamics, it is important to understand the link between these products. In this paper, we bound VIX options from vanilla options and VIX futures. This leads us to introduce a new martingale optimal transportation(More)
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