7 citations · 12 across the 14 of their papers we have counts for
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q-fin.MF2020★ 1 cited
A Note on Utility Indifference Pricing with Delayed Information
Peter Bank, Yan Dolinsky
We consider the Bachelier model with information delay where investment decisions can be based only on observations from time units before. Utility indifference prices are st…
q-fin.MF2020
On Shortfall Risk Minimization for Game Options
Yan Dolinsky
In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) mo…