Change of numeraire in the two-marginals martingale transport problem
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- Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
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- Huesmann, Martin & Stebegg, Florian, 2018. "Monotonicity preserving transformations of MOT and SEP," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1114-1134.
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This paper has been announced in the following NEP Reports:- NEP-TRE-2014-06-28 (Transport Economics)
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