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Model-free Hedging (A Martingale Optimal Transport Viewpoint)
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Product Details
Author:
Pierre Henry-Labordere
Format:
Paperback
Pages:
204
Publisher:
CRC Press (September 30, 2020)
Language:
English
ISBN-13:
9780367657963
Weight:
13.5oz
Dimensions:
6.125" x 9.1875"
File:
TAYLORFRANCIS-TayFran_260405043548125-20260405.xml
Folder:
TAYLORFRANCIS
List Price:
$70.99
Series:
Chapman and Hall/CRC Financial Mathematics Series
Case Pack:
1
As low as:
$67.44
Publisher Identifier:
P-CRC
Discount Code:
H
Country of Origin:
United States
Pub Discount:
30
Imprint:
Chapman and Hall/CRC
Overview
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.
