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CRC Press Model-free Hedging: A Martingale Optimal Transport Viewpoint (Chapman and Hall/CRC Financial Mathematics Series)

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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.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
30 September 2020
Listed Since
24 July 2020

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