4 papers
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…
Limit Theorems for Partial Hedging Under Transaction Costs
Yan Dolinsky
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this c…
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Yan Dolinsky
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and sati…
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Yan Dolinsky
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quanti…