 Change of numeraire for weak martingale transportMathias Beiglböck, Gudmund Pammer and Lorenz Riess Stochastic Processes and their Applications, 2026, vol. 192, issue C Abstract: Change of numeraire is a classical tool in mathematical finance. Campi–Laachir–Martini (Campi et al., 2017) established its applicability to martingale optimal transport. We note that the results of Campi et al. (2017) extend to the case of weak martingale transport. We apply this to shadow couplings (in the sense of Beiglböck and Juillet (2021)), continuous time martingale transport problems in the framework of Huesmann–Trevisan (Huesmann and Trevisan, 2019) and in particular to establish the correspondence of stretched Brownian motion with its geometric counterpart. From a mathematical finance perspective, the geometric (stretched) Brownian motion and the corresponding geometric Bass local volatility model are more natural, and via the change of numeraire transform the efficient and well-understood algorithm for the Bass local volatility model can be adapted to this geometric counterpart. Date: 2026 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002236 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2025.104779 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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