May 15, 2017
by Chapman and Hall/CRC
Reference - 190 Pages - 22 B/W Illustrations
ISBN 9781138062238 - CAT# K33344
Series: Chapman and Hall/CRC Financial Mathematics Series
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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.
Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.