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Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model

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  • Yan Dolinsky

Abstract

We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar American options in the multidimensional BS market with path dependent payoffs. In comparison to previous papers we consider the multi assets case for which we use the weak convergence approach.

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  • Yan Dolinsky, 2010. "Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model," Papers 1004.1574, arXiv.org.
    • Handle: RePEc:arx:papers:1004.1574
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    File URL: http://arxiv.org/pdf/1004.1574
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    References listed on IDEAS

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    1. Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
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    Cited by:

    1. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.

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