Binomial approximations of shortfall risk for game options

DOI10.1214/07-AAP503zbMath1151.91504arXiv0811.1896MaRDI QIDQ957516

Yan Dolinsky, Yuri Kifer

Publication date: 27 November 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.1896

zbMATH Keywords

Dynkin gamesSkorokhod embeddingbinomial approximationgame optionsshortfall riskcomplete and incomplete markets

Mathematics Subject Classification ID

2-person games (91A05) Strong limit theorems (60F15) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Dynkin's games and Israeli options ⋮ The efficient hedging problem for American options ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

Cites Work

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• The efficient hedging problem for American options
• Error estimates for binomial approximations of game options
• Efficient hedging: cost versus shortfall risk
• On dynamic measure of risk
• Hedging with risk for game options in discrete time
• Optimal stopping and strong approximation theorems†
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Game options
• Stochastic differential equations. An introduction with applications.

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