Shortfall risk approximations for American options in the multidimensional Black-Scholes model

Yan Dolinsky

doi:10.1239/jap/1294170514

Shortfall risk approximations for American options in the multidimensional Black-Scholes model

Yan Dolinsky^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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.

Original language	English
Pages (from-to)	997-1012
Number of pages	16
Journal	Journal of Applied Probability
Volume	47
Issue number	4
DOIs	https://doi.org/10.1239/jap/1294170514
State	Published - Dec 2010
Externally published	Yes

Keywords

American option
Shortfall risk
Weak convergence

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10.1239/jap/1294170514

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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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Shortfall risk approximations for American options in the multidimensional Black-Scholes model

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Keywords

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