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My bibliography Save this paperChange of numeraire in the two-marginals martingale transport problem
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- Y. Dolinsky & H. M. Soner, 2014. "Martingale optimal transport in the Skorokhod space," Papers 1404.1516, arXiv.org, revised Feb 2015.
- Mathias Beiglbock & Marcel Nutz & Nizar Touzi, 2015. "Complete Duality for Martingale Optimal Transport on the Line," Papers 1507.00671, arXiv.org, revised Jun 2016.
- Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
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- Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
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Cited by:
- Beatrice Acciaio & Mathias Beiglboeck & Gudmund Pammer, 2020. "Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market," Papers 2011.04274, arXiv.org, revised Aug 2023.
- Beatrice Acciaio & Antonio Marini & Gudmund Pammer, 2023. "Calibration of the Bass Local Volatility model," Papers 2311.14567, arXiv.org.
- Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas, 2023.
"Supermartingale Brenier’s Theorem with Full-Marginal Constraint,"
World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 17, pages 569-636,
World Scientific Publishing Co. Pte. Ltd..
- Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas, 2022. "Supermartingale Brenier's Theorem with full-marginals constraint," Papers 2212.14174, arXiv.org.
- Julio Backhoff-Veraguas & Gregoire Loeper & Jan Obloj, 2024. "Geometric Martingale Benamou-Brenier transport and geometric Bass martingales," Papers 2406.04016, arXiv.org.
- Julio Backhoff-Veraguas & Gudmund Pammer, 2019. "Stability of martingale optimal transport and weak optimal transport," Papers 1904.04171, arXiv.org, revised Dec 2020.
- Beiglböck, Mathias & Henry-Labordère, Pierre & Touzi, Nizar, 2017. "Monotone martingale transport plans and Skorokhod embedding," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 3005-3013.
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglböck & Manu Eder, 2020. "Adapted Wasserstein distances and stability in mathematical finance," Finance and Stochastics, Springer, vol. 24(3), pages 601-632, July.
- Mathias Beiglbock & Gudmund Pammer & Lorenz Riess, 2024. "Change of numeraire for weak martingale transport," Papers 2406.07523, arXiv.org.
- Mathias Beiglboeck & Alexander Cox & Martin Huesmann, 2017. "The geometry of multi-marginal Skorokhod Embedding," Papers 1705.09505, arXiv.org.
- Julio Backhoff-Veraguas & Mathias Beiglbock & Martin Huesmann & Sigrid Kallblad, 2017. "Martingale Benamou--Brenier: a probabilistic perspective," Papers 1708.04869, arXiv.org, revised Jan 2019.
- Mathias Beiglboeck & Pierre Henry-Labordere & Nizar Touzi, 2017. "Monotone Martingale Transport Plans and Skorohod Embedding," Papers 1701.06779, arXiv.org.
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglbock & Manu Eder, 2019. "Adapted Wasserstein Distances and Stability in Mathematical Finance," Papers 1901.07450, arXiv.org, revised May 2020.
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More about this item
Keywords
robust hedging; mode-independent pricing; model uncertainty; optimal transport; change of numeraire; forward start straddle;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-TRE-2017-01-22 (Transport Economics)
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