Change of numeraire in the two-marginals martingale transport problem (Q522059): Difference between revisions

This paper introduces change of numéraire techniques in the two marginals transport problem for positive martingales. The setting consists of a two-period financial market with one riskless asset and one risky asset, with positive price process \(M=(1,X,Y)\). The laws of \(X\) and \(Y\) are respectively denoted by \(\mu\) and \(\nu\) and it is assumed that \(\mu\) is dominated by \(\nu\) in the sense of convex order. Let \(\mathcal{M}(\mu,\nu)\) be the set of all probability measures on \((\Omega,\mathcal{F})\) such that \(X\sim\mu\) and \(Y\sim\nu\) and \(M\) is a martingale. The change of numéraire is studied by considering the operator \(\mathbb{S}\) that assigns to every \(Q\in\mathcal{M}(\mu,\nu)\) the measure \(\mathbb{S}(Q)\) defined by \[ \mathbb{E}^{\mathbb{S}(Q)}[f(X,Y)] = \mathbb{E}^Q\left[Y f\left(\frac{1}{X},\frac{1}{Y}\right)\right], \] for bounded measurable functions \(f\). The symmetry properties of the model-free price bounds with respect to change of numéraire transformations are established. The authors study the model-free pricing of \textit{forward start straddles}, showing that forward start straddles of type I can be transformed into forward start straddles of type II via a suitable change of numéraire and the optimal transport plan in the subhedging problems is the same for both types of options. The authors also study the change of numéraire transformations in the context of \textit{M. Beiglböck} and \textit{N. Juillet} [Ann. Probab. 44, No. 1, 42--106 (2016; Zbl 1348.49045)] and \textit{P. Henry-Labordère} and \textit{N. Touzi} [Finance Stoch. 20, No. 3, 635--668 (2016; Zbl 1369.91181)], showing that the right-monotone transference plan can be viewed as a mirror coupling of its left counterpart under the change of measure.