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Model-Free Hedging: A Martingale Optimal Transport Viewpoint
Paperback
Series: Chapman and Hall/CRC Financial Mathematics
Investing & FinanceGeneral Mathematics
ISBN13: 9780367657963
Publisher: CRC Press
Published: Sep 30 2020
Pages: 190
Weight: 0.65
Height: 0.44 Width: 6.14 Depth: 9.21
Language: English
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
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