Binomial approximations of shortfall risk for game options

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dc.creatorDolinsky, Yan
dc.creatorKifer, Yuri
dc.date2008-11-12
dc.date.accessioned2026-07-07T12:08:03Z
dc.date.available2026-07-07T12:08:03Z
dc.descriptionWe show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style options. The paper continues and extends the study of Kifer [Ann. Appl. Probab. 16 (2006) 984--1033] where estimates for binomial approximations of prices of game options were obtained. Our arguments rely, in particular, on strong invariance principle type approximations via the Skorokhod embedding, estimates from Kifer [Ann. Appl. Probab. 16 (2006) 984--1033] and the existence of optimal shortfall hedging in the discrete time established by Dolinsky and Kifer [Stochastics 79 (2007) 169--195].
dc.descriptionPublished in at http://dx.doi.org/10.1214/07-AAP503 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0811.1896
dc.identifierhttp://arxiv.org/abs/0811.1896
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 5, 1737-1770
dc.identifierdoi:10.1214/07-AAP503
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209186
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject91B28 (Primary) 60F15, 91A05 (Secondary)
dc.titleBinomial approximations of shortfall risk for game options
dc.typetext

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