Shortfall risk approximations for American options in the multidimensional Black-Scholes model
Metadata only
Date
2010Type
- Journal Article
Publication status
publishedJournal / series
Journal of AppliedPprobabilityVolume
Pages / Article No.
Publisher
Applied Probability TrustSubject
American option; shortfall risk; weak convergenceOrganisational unit
03844 - Soner, Mete / Soner, Mete
Notes
Received 5 Feburary 2010, Revision received 20 August 2010.More
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