26 citations · 71 across the 45 of their papers we have counts for
4 papers · 1 filter
Martingale optimal transport in the Skorokhod space
Y. Dolinsky, H. M. Soner
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with…
Hedging of Game Options under Model Uncertainty in Discrete Time
Yan Dolinsky
We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous pay…
Binomial Approximations for Barrier Options of Israeli Style
Yan Dolinsky, Yuri Kifer
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding q…
Perfect and partial hedging for swing game options in discrete time
Y. Dolinsky, Y. Iron, Y. Kifer
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can…