On shortfall risk minimization for game options

Yan Dolinsky*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black–Scholes (BS) model. Our first result says that in the case where the game contingent claim (GCC) can be exercised only on a finite set of times, there exists an optimal strategy. Our second and main result is an example which demonstrates that for the case where the GCC can be stopped on the whole time interval, optimal portfolio strategies need not always exist.

Original languageEnglish
Pages (from-to)379-394
Number of pages16
JournalModern Stochastics: Theory and Applications
Volume7
Issue number4
DOIs
StatePublished - 2020

Bibliographical note

Publisher Copyright:
© 2020 The Author(s). Published by VTeX.

Keywords

  • Complete market
  • Game options
  • Shortfall risk
  • Stochastic optimal control

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