Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model
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Publication:3067841
DOI10.1239/jap/1294170514zbMath1203.91289arXiv1004.1574MaRDI QIDQ3067841
Publication date: 13 January 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.1574
60F05: Central limit and other weak theorems
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
Related Items
Cites Work
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- The efficient hedging problem for American options
- Tightness criteria for laws of semimartingales
- Binomial approximations of shortfall risk for game options
- Extended convergence to continuous in probability processes with independent increments
- Applications of weak convergence for hedging of game options
- Hedging with risk for game options in discrete time
- Binomial Approximations for Barrier Options of Israeli Style
- Distances of Probability Measures and Random Variables
- Game options