26 citations · 71 across the 45 of their papers we have counts for
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q-fin.PM2013★ 1 cited
Robust Hedging with Proportional Transaction Costs
Yan Dolinsky, H. Mete Soner
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's p…
q-fin.PM2011★ 2 cited
Hedging of Game Options With the Presence of Transaction Costs
Yan Dolinsky
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock…