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Model-free Hedging (e-bog) af Henry-Labordere, Pierre
Henry-Labordere, Pierre (forfatter)

Model-free Hedging e-bog

436,85 DKK (inkl. moms 546,06 DKK)
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 ...
E-bog 436,85 DKK
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Forfattere Henry-Labordere, Pierre (forfatter)
Forlag Chapman and Hall/CRC
Udgivet 25 maj 2017
Længde 190 sider
Genrer Economic systems and structures
Sprog English
Format pdf
Beskyttelse LCP
ISBN 9781351666237

Beskrivelse

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.