Change of numeraire in the two-marginals martingale transport problem
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Abstract: In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we consider the optimal transport plan constructed in cite{HobsonKlimmek2013} as well as the one introduced in cite{BeiglJuil} and further studied in cite{BrenierMartingale}. We show that, in the case of positive martingales, a suitable change of numeraire applied to cite{HobsonKlimmek2013} exchanges forward start straddles of type I and type II, so that the optimal transport plan in the subhedging problems is the same for both types of options. Moreover, for cite{BrenierMartingale}'s construction, the right monotone transference plan can be viewed as a mirror coupling of its left counterpart under the change of numeraire. An application to stochastic volatility models is also provided.
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Cited in
(24)- Supermartingale Brenier's theorem with full-marginals constraint
- Convex order, quantization and monotone approximations of ARCH models
- A construction of the left-curtain coupling
- The geometry of multi-marginal Skorokhod embedding
- All adapted topologies are equal
- Canonical supermartingale couplings
- Compactness criterion for semimartingale laws and semimartingale optimal transport
- Monotonicity preserving transformations of MOT and SEP
- Robust bounds for derivative prices in Markovian models
- Shadow couplings
- Monotone martingale transport plans and Skorokhod embedding
- Supermartingale shadow couplings: the decreasing case
- A potential-based construction of the increasing supermartingale coupling
- No-arbitrage bounds for the forward smile given marginals
- Tightening robust price bounds for exotic derivatives
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- Weak transport for non‐convex costs and model‐independence in a fixed‐income market
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- Stability of martingale optimal transport and weak optimal transport
- Girsanov, Numeraires, and All That
- Geometry of distribution-constrained optimal stopping problems
- Martingale Benamou-Brenier: a probabilistic perspective
- Dual attainment for the martingale transport problem
- Quantization and martingale couplings
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