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Model-free Hedging A Martingale Optimal Transport Viewpoint PDF

Model-free Hedging A Martingale Optimal Transport Viewpoint PDF

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Model-free Hedging A Martingale Optimal Transport Viewpoint PDF

Published Date:
05/18/2017

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[ Active ]

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Publisher:
CRC Press Books

Document status:
Active
Format:
Electronic (PDF)
Delivery time:
10 minutes
Delivery time (for Russian version):
200 business days
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$32.4
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ISBN: 9781351666237

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.

Author: Pierre Henry-Labordere


Edition : 1
Number of Pages : 205
Published : 05/18/2017
isbn : 9781351666237

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