ENGLISH

Model-free hedging : a Martingale Optimal Transport viewpoint

By Pierre Henry-Labordère

Book information

Publisher
Chapman and Hall/CRC
Year
2017
ISBN
9781351666237, 1351666231, 1138062235, 978-1-1380-6223-8
Language
english
Format
PDF
Filesize
9 MB (9493399 bytes)
Series
Chapman and Hall/CRC Financial Mathematics Series
Edition
1
Pages
204\205
Time added
2017-06-25 19:00:00
Hedging (Finance);Martingales (Mathematics);BUSINE

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.

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