220 citations
- Hebrew University of JerusalemIL10 papers
- KTH Royal Institute of TechnologySE2 papers
- Physico-Technical InstituteRU2 papers
- Tel Aviv UniversityIL2 papers
- Weizmann Institute of ScienceIL2 papers
- Academy of Sciences Republic of UzbekistanUZ1 paper
- Bar-Ilan UniversityIL1 paper
- Ben-Gurion University of the NegevIL1 paper
- Boise State UniversityUS1 paper
- California Institute of TechnologyUS1 paper
- Columbia UniversityUS1 paper
- Cornell UniversityUS1 paper
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q-fin.PR2013
Hedging of Game Options under Model Uncertainty in Discrete Time
Yan Dolinsky
We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous pay…
q-fin.PR2009
Binomial Approximations for Barrier Options of Israeli Style
Yan Dolinsky, Yuri Kifer
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding q…