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Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model - MaRDI portal

Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model (Q3067841)

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Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model
scientific article

    Statements

    title
    Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model (English)
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    author
    Yan Dolinsky
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    publication date
    13 January 2011
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    zbMATH Keywords
    American option
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    shortfall risk
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    weak convergence
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    60F05
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    zbMATH DE Number
    5835863
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    OpenAlex ID
    W2070414947
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    arXiv ID
    1004.1574
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