26 citations · 71 across the 45 of their papers we have counts for
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math.PR2015
The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplicat…
q-fin.MF2015
Super-replication in Fully Incomplete Markets
Yan Dolinsky, Ariel Neufeld
In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model free super-replication price.…
q-fin.MF2015
Convex duality with transaction costs
Yan Dolinsky, H. Mete Soner
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging…