scholarly journals Binomial approximations of shortfall risk for game options

2008 ◽  
Vol 18 (5) ◽  
pp. 1737-1770 ◽  
Author(s):  
Yan Dolinsky ◽  
Yuri Kifer
Keyword(s):  
Shortfall Risk ◽  
Game Options

scholarly journals Risk minimization for game options in markets imposing minimal transaction costs

2016 ◽  
Vol 48 (3) ◽  
pp. 926-946 ◽  
Author(s):  
Yan Dolinsky ◽  
Yuri Kifer
Keyword(s):  
Transaction Costs ◽  
Continuous Time ◽  
Risk Minimization ◽  
Proportional Transaction Costs ◽  
Shortfall Risk ◽  
Partial Hedging ◽  
Black Scholes ◽  
Fixed Transaction Cost ◽  
Game Options ◽  
Binomial Models

Abstract We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction cost. We prove that in the continuous-time Black‒Scholes (BS) model, there exists a trading strategy which minimizes the shortfall risk. Furthermore, we use binomial models in order to provide numerical schemes for the calculation of the shortfall risk and the corresponding optimal portfolio in the BS model.

scholarly journals Efficient hedging: Cost versus shortfall risk

2000 ◽  
Vol 4 (2) ◽  
pp. 117-146 ◽  
Author(s):  
Hans Föllmer ◽  
Peter Leukert
Keyword(s):  
Shortfall Risk ◽  
Efficient Hedging

scholarly journals Dynkin's Games and Israeli Options

2013 ◽  
Vol 2013 ◽  
pp. 1-17 ◽  
Author(s):  
Yuri Kifer
Keyword(s):  
Transaction Costs ◽  
Error Estimates ◽  
Optimal Stopping ◽  
Derivative Securities ◽  
Discrete Approximations ◽  
Game Options ◽  
Related Derivative ◽  
Stopping Games

We start by briefly surveying a research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin’s games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.

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