26 citations · 71 across the 45 of their papers we have counts for
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math.PR2009★ 10 cited
Applications of weak convergence for hedging of game options
Yan Dolinsky
In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\…
q-fin.PR2009
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…
q-fin.PR2009
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…