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BINOMIAL APPROXIMATIONS OF SHORTFALL RISK FOR GAME OPTIONS (2008)
| Citations: | 7 - 5 self |
BibTeX
@MISC{Dolinsky08binomialapproximations,
author = {Yan Dolinsky and Yuri Kifer},
title = {BINOMIAL APPROXIMATIONS OF SHORTFALL RISK FOR GAME OPTIONS },
year = {2008}
}
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Abstract
We 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
