Model-free hedging: a martingale optimal transport viewpoint
Auteur :
Henry-Labordere, Pierre
Éditeur :
Taylor & Francis Ltd
ISBN :
9780367657963
Date de publication :
30 sept. 2020
Dimensions :
23,4 x 15,6 cm
Poids :
380 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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