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Minimizing shortfall risk for multiple assets derivatives
shortfall risk multiple assets options correlated assets quantile hedging
2011/3/23
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk fun...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Shortfall Risk Approximations American Options multidimensional Black--Scholes Model
2010/10/19
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 Ame...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
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 Ame...