Valuation Bounds on Barrier Options Under Model Uncertainty

This article investigates valuation bounds on barrier options under model uncertainty. This investigation enriches the literature on the model-free valuation of these exotic options. It is found that with weak assumptions on underlying price processes, tight valuation bounds on barrier options can be sought from a set of European options. As a result, the numerical routine developed in this article can be reviewed as a new method for the evaluation of barrier options, which is independent of model assumptions.