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Model-Free Hedging

A Martingale Optimal Transport Viewpoint

by Pierre Henry-Labordere
language: english
Publisher: TAYLOR & FRANCIS LTD, September of 2020 ‧
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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 transpo

Model-Free Hedging

A Martingale Optimal Transport Viewpoint

by Pierre Henry-Labordere

Property Description
ISBN: 9780367657963
Publisher: TAYLOR & FRANCIS LTD
Release Date: September of 2020
Language: English
Dimensions: 232 x 156 x 25 mm
Cover: Softcover
Pages: 190
Format: Book
Collection: Chapman And Hall/Crc Financial Mathematics Series
Categories: Books in English > Economics, Finance and Accounting > Economy
Books in English > Others
EAN: 9780367657963