Model-free hedging : a martingale optimal transport viewpoint /

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 differenc...

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Bibliographic Details

Main Author:	Henry-Labordere, Pierre (Author)
Corporate Author:	Taylor & Francis
Format:	eBook
Language:	English
Published:	Boca Raton : Chapman and Hall/CRC, 2017.
Series:	Chapman & Hall/CRC financial mathematics series.
Subjects:	Hedging (Finance) Martingales (Mathematics) Couverture (Finances) Martingales (Mathématiques) BUSINESS & ECONOMICS > Finance. Electronic books.
Online Access:	Connect to the full text of this electronic book