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Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model
Published online by Cambridge University Press: 14 July 2016
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 multiassets case for which we use the weak convergence approach.
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- Copyright © Applied Probability Trust 2010