7 citations · 7 across the 6 of their papers we have counts for
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q-fin.MF2014
Super-replication with nonlinear transaction costs and volatility uncertainty
Peter Bank, Yan Dolinsky, Selim Gökay
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model unce…
q-fin.MF2014
Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs
Yan Dolinsky, Yuri Kifer
We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are t…