Model-free Hedging : A Martingale Optimal Transport Viewpoint PDF
by Pierre Henry-Labordere
Part of the Chapman and Hall/CRC Financial Mathematics Series series
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Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.
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- Format:PDF
- Pages:204 pages
- Publisher:CRC Press
- Publication Date:25/05/2017
- Category:
- ISBN:9781351666237
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Information
-
Download Now
- Format:PDF
- Pages:204 pages
- Publisher:CRC Press
- Publication Date:25/05/2017
- Category:
- ISBN:9781351666237
