7 citations · 12 across the 8 of their papers we have counts for
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q-fin.CP2011★ 1 cited
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…
math.PR2011★ 3 cited
Weak Approximation of G-Expectations
Yan Dolinsky, Marcel Nutz, H. Mete Soner
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng's G-expectation. In the continuous-time limit, the resulting sublinea…