Model-free Hedging
Download or Read eBook Model-free Hedging PDF written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2017-05-25 with total page 159 pages. Available in PDF, EPUB and Kindle.
| Author | : Pierre Henry-Labordere |
| Publisher | : CRC Press |
| Total Pages | : 159 |
| Release | : 2017-05-25 |
| ISBN-10 | : 9781351666220 |
| ISBN-13 | : 1351666223 |
| Rating | : 4/5 (20 Downloads) |
Book Synopsis Model-free Hedging by : Pierre Henry-Labordere
Book excerpt: 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.
