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

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Author
Dolinsky, Yan
Date
2010
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Journal of applied probability
Volume
47(4)
Pages
997 - 1012
Publisher
Applied Probability Trust
Subject
American option; shortfall risk; weak convergence
Organisational unit
03844 - Soner, Mete
Notes
Received 5 Feburary 2010, Revision received 20 August 2010.
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