Model-independent Bounds for Option Prices: A Mass Transport Approach
  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. 
Mathias Beiglb\"ock and Pierre Henry-Labord\`ere and Friedrich Penkner
q-fin.PR math.OC q-fin.CP