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Model-free Hedging
- A Martingale Optimal Transport Viewpoint
Engelsk
Bogcover for Model-free Hedging af Pierre Henry-Labordere, 9780367657963
Specifikationer
Sprog:
Engelsk
Sider:
190
ISBN-13:
9780367657963
Indbinding:
Paperback
ISBN-10:
0367657961
Udg. Dato:
30 sep 2020
Størrelse i cm:
15,6 x 23,2 x 2,5
Oplagsdato:
30 sep 2020
Forfatter(e):

Model-free Hedging

- A Martingale Optimal Transport Viewpoint
Engelsk
Paperback 2020
Format:

Bog beskrivelse

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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Specifikationer
Sprog:
Engelsk
Sider:
190
ISBN-13:
9780367657963
Indbinding:
Paperback
ISBN-10:
0367657961
Udg. Dato:
30 sep 2020
Størrelse i cm:
15,6 x 23,2 x 2,5
Oplagsdato:
30 sep 2020
Forfatter(e):
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