On shortfall risk minimization for game options
نویسندگان
چکیده
منابع مشابه
Binomial Approximations of Shortfall Risk for Game
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black–Scholes market considering Lipschitz continuous path dependent payoffs for both discrete and continuous time cases. This results are new also for usual American style options. The paper continues and extends the study of [6] where estimates for binomial...
متن کاملRisk-Sensitive Learning via Expected Shortfall Minimization
A new approach for cost-sensitive classification is proposed. We extend the framework of cost-sensitive learning to mitigate risks of huge costs occurring with low probabilities, and propose an algorithm that achieves this goal. Instead of minimizing the expected cost commonly used in cost-sensitive learning, our algorithm minimizes expected shortfall, a.k.a. conditional value-at-risk, known as...
متن کاملShortfall Risk Minimization in Discrete Time Financial Market Models
In this paper, we study theoretical and computational aspects of risk minimization in financial market models operating in discrete time. To define the risk, we consider a class of convex risk measures defined on L(P) in terms of shortfall risk. Under simple assumptions, namely the absence of arbitrage opportunity and the non-degeneracy of the price process, we prove the existence of an optimal...
متن کاملInsuring against the shortfall risk associated with real options
Abstract: Given two assets Sand B with price processes two correlated geometric Brownian motions S. = (Stk::o, B. = (Sdt~o and a bond B. Suppose that we can only observe B. and can only trade in B. and B or equivalently buy options on B. at time T = O. Suppose further that we want to hedge an arbitrary binary option H depending on ST; i.e. H = l{sTEA}' Under these conditions it is shown that th...
متن کاملGARCH options via local risk minimization
We apply the quadratic hedging scheme developed by Föllmer, Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process. The main contributions of this work consist of showing that local risk-minimizing strategies with respect to the physical measure do exist, even though an associated minimal martingale measure is only available in the pres...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Modern Stochastics: Theory and Applications
سال: 2020
ISSN: 2351-6046,2351-6054
DOI: 10.15559/20-vmsta164