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Martingale optimal transport and robust hedging in continuous time

- Y. Dolinsky, H. Soner
- Mathematics
- 24 August 2012

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled… Expand

Martingale optimal transport in the Skorokhod space

- Y. Dolinsky, H. Soner
- Mathematics, Economics
- 5 April 2014

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints… Expand

Robust hedging with proportional transaction costs

- Y. Dolinsky, H. Soner
- Economics, Mathematics
- Finance Stochastics
- 3 February 2013

TLDR

Duality and convergence for binomial markets with friction

- Y. Dolinsky, H. Soner
- Mathematics, Computer Science
- Finance Stochastics
- 10 June 2011

TLDR

Approximating Stochastic Volatility by Recombinant Trees

- Erdinc Akyildirim, Y. Dolinsky, H. Soner
- Mathematics, Economics
- 15 May 2012

A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the… Expand

Numerical schemes for G-Expectations

- Y. Dolinsky
- Mathematics
- 15 September 2011

We consider a discrete time analog of $G$-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original $G$-expectation. Furthermore we… Expand

Hedging with risk for game options in discrete time

- Y. Dolinsky, Y. Kifer
- Mathematics
- 1 February 2007

We study the problems of efficient hedging of game (Israeli) options when the initial capital in the portfolio is less than the fair option price. In this case a perfect hedging is impossible and one… Expand

Hedging of Game Options under Model Uncertainty in Discrete Time

- Y. Dolinsky
- Mathematics, Economics
- 12 April 2013

We introduce a setup of model uncertaintyin discrete time. In this setup wederive dual expressions for the super-replication prices of game options with upper semicontinuous payoffs. We show that the… Expand

Continuity of Utility Maximization under Weak Convergence

- E. Bayraktar, Y. Dolinsky, J. Guo
- Mathematics, Economics
- 4 November 2018

In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the… Expand

Applications of weak convergence for hedging of game options

- Y. Dolinsky
- Mathematics, Economics
- 25 August 2009

In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\infty}$ to a limit… Expand

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