26 citations · 71 across the 45 of their papers we have counts for
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q-fin.PR2013
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…
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…