On shortfall risk minimization for game options

DOI10.15559/20-VMSTA164zbMath1476.91181arXiv2002.01528MaRDI QIDQ2240070

Yan Dolinsky

Publication date: 5 November 2021

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.01528

zbMATH Keywords

stochastic optimal controlcomplete marketgame optionsshortfall risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Perpetual cancellable American options with convertible features

Cites Work

• Unnamed Item
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• Game options

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