Model-free bounds, optimal transport and applications in finance

This talk considers model-free bounds for multi-asset option prices in a setting where the marginals are known and the dependence structure is partially known. We will first present methods to sharpen the classical... [ view full abstract ]

This talk considers model-free bounds for multi-asset option prices in a setting where the marginals are known and the dependence structure is partially known. We will first present methods to sharpen the classical Fréchet-Hoeffding bounds on copulas using additional information on the dependence structure, and discuss their application in option pricing. Then, we will consider model-free hedging of multi-asset option prices in the presence of additional information on the dependence structure. An extension of the classical optimal transport super-hedging duality will allow us to provide new insights in model-free hedging, and show (non) sharpness of the improved Fréchet-Hoeffding bounds.