Model-free hedging : a martingale optimal transport viewpoint
Author(s)
Bibliographic Information
Model-free hedging : a martingale optimal transport viewpoint
（Chapman & Hall/CRC financial mathematics series）
CRC Press, c2017
- : hardback
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Note
"A Chapman & Hall book"
Includes bibliographical references (p. 179-188) and index
Description and Table of Contents
Description
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.
Table of Contents
Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.
by "Nielsen BookData"