2 papers
q-fin.MF2019
The Value of Insider Information for Super--Replication with Quadratic Transaction Costs
Yan Dolinsky, Jonathan Zouari
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider informa…
q-fin.MF2017
Market Delay and G-expectations
Yan Dolinsky, Jonathan Zouari
We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the…