26 citations · 71 across the 45 of their papers we have counts for
5 papers · 1 filter
A Note on Optimal Liquidation with Linear Price Impact
Yan Dolinsky, Doron Greenstein
In this note we consider the maximization of the expected terminal wealth for the setup of quadratic transaction costs. First, we provide a very simple probabilistic solution to th…
Duality and Convergence for Binomial Markets with Friction
Yan Dolinsky, Halil Mete Soner
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs a…
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…