26 citations · 71 across the 45 of their papers we have counts for
Showing 2016Show all
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q-fin.MF2016★ 1 cited
Super-Replication with Fixed Transaction Costs
Peter Bank, Yan Dolinsky
We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constrain…
math.PR2016★ 1 cited
Recombining Tree Approximations for Optimal Stopping for Diffusions
Erhan Bayraktar, Yan Dolinsky, Jia Guo
In this paper we develop two numerical methods for optimal stopping in the framework of one dimensional diffusion. Both of the methods use the Skorohod embedding in order to constr…