arXiv subjects

Y. Dolinsky

Publications and source records attributed to Y. Dolinsky.

2 recordsLinked to original sources

arXiv2015

Martingale optimal transport in the Skorokhod space

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 involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. In this second version, we included the multi-marginal case.

q-fin.PR↗

arXiv2009

Perfect and partial hedging for swing game options in discrete time

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.

q-fin.PR↗