Model Free Hedging

Download or read book Model-free Hedging written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2017-05-25 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.