Shortfall risk approximations for American options in the multidimensional Black-Scholes model
Publication status
publishedExternal links
Journal / series
Journal of Applied ProbabilityVolume
Pages / Article No.
Publisher
Applied Probability TrustSubject
American option; shortfall risk; weak convergenceOrganisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
Received 5 Feburary 2010, Revision received 20 August 2010.More
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yes
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