Model-free Hedging: A Martingale Optimal Transport Viewpoint

Pierre Henry-Labordere

Model-free Hedging: A Martingale Optimal Transport Viewpoint
Format
Hardback
Publisher
Taylor & Francis Ltd
Country
United Kingdom
Published
18 May 2017
Pages
190
ISBN
9781138062238

Model-free Hedging: A Martingale Optimal Transport Viewpoint

Pierre Henry-Labordere

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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