| Model-Free Hedging: A Martingale Optimal Transport Viewpoint Contributor(s): Henry-Labordère, Pierre (Author) |
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ISBN: 1138062235 ISBN-13: 9781138062238 Publisher: CRC Press OUR PRICE: $109.25 Product Type: Hardcover - Other Formats Published: May 2017 |
| Additional Information |
| BISAC Categories: - Mathematics | Applied |
| Series: Chapman and Hall/CRC Financial Mathematics |
| Physical Information: 190 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |