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.
| ISBN: | 9780367657963 |
| Publication date: | 30th September 2020 |
| Author: | Pierre Société Générale, Paris, France HenryLabordere |
| Publisher: | Chapman & Hall/CRC an imprint of Taylor & Francis Ltd |
| Format: | Paperback |
| Pagination: | 190 pages |
| Series: | Chapman and Hall/CRC Financial Mathematics Series |
| Genres: |
Applied mathematics Applied mathematics Finance and the finance industry Economic systems and structures |