7 citations · 7 across the 6 of their papers we have counts for
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q-fin.CP2010
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…
q-fin.CP2010
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…
q-fin.CP2010
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…