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 language | English |
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Pages (from-to) | 379-394 |
Number of pages | 16 |
Journal | Modern Stochastics: Theory and Applications |
Volume | 7 |
Issue number | 4 |
DOIs | |
State | Published - 2020 |
Bibliographical note
Publisher Copyright:© 2020 The Author(s). Published by VTeX.
Keywords
- Complete market
- Game options
- Shortfall risk
- Stochastic optimal control