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Corbetta Jacopo Cohort Pierre Laachir Ismail Martini Claude 《Decisions in Economics and Finance》2019,42(2):665-677
Decisions in Economics and Finance - We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$... 相似文献
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In this paper, we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two-period setting. In particular, we consider the optimal transport plan constructed in Hobson and Klimmek (Finance Stoch. 19:189–214, 2015) as well as the one introduced in Beiglböck and Juillet (Ann. Probab. 44:42–106, 2016) and further studied in Henry-Labordère and Touzi (Finance Stoch. 20:635–668, 2016). We show that in the case of positive martingales, a suitable change of numeraire applied to Hobson and Klimmek (Finance Stoch. 19:189–214, 2015) 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 Henry-Labordère and Touzi’s (Finance Stoch. 20:635–668, 2016) construction, the right-monotone transference plan can be viewed as a mirror coupling of its left counterpart under the change of numeraire. 相似文献
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