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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| Format: | eBook |
| Language: | English |
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Boca Raton :
Chapman and Hall/CRC,
2017.
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| Series: | Chapman & Hall/CRC financial mathematics series.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | <P>Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.</p> |
| Physical Description: | 1 online resource (190 pages) : illustrations (black and white) |
| ISBN: | 9781351666237 1351666231 9781138062238 1138062235 9781351666220 1351666223 9781351666213 1351666215 9781315161747 1315161745 |