Code: 16020298

Model-free Hedging

Name: Model-free Hedging
Brand: Taylor & Francis Ltd
SKU: 16020298
Price: 132.55 EUR
Availability: BackOrder
Author: Pierre Henry-Laborde're
ISBN: 9781138062238

by Pierre Henry-Laborde're

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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 a ... more

Language: English
Binding: Hardback
Number of pages: 190
Publisher: Taylor & Francis Ltd, 2017
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Book synopsis

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.