26 citations · 71 across the 45 of their papers we have counts for
13 papers · 1 filter
Scaling Limits for the Discretization of the Martingale Representation Theorem
Yan Dolinsky
In this note, we derive a large-deviation-type scaling limit for a discretization of the Martingale Representation Theorem. Somewhat surprisingly, and to the best of our knowledge,…
Scaling Limits for Exponential Hedging in the Brownian Framework
Yan Dolinksy, Xin Zhang
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be re…
A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model
Asaf Cohen, Yan Dolinsky
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European op…
A Note on Costs Minimization with Stochastic Target Constraints
Yan Dolinsky, Benjamin Gottesman, Ori Gurel-Gurevich
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value funct…
Numerical Scheme for Dynkin Games under Model Uncertainty
Benjamin Gottesman, Yan Dolinsky
We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approxima…
Recombining Tree Approximations for Optimal Stopping for Diffusions
Erhan Bayraktar, Yan Dolinsky, Jia Guo
In this paper we develop two numerical methods for optimal stopping in the framework of one dimensional diffusion. Both of the methods use the Skorohod embedding in order to constr…