Shortfall Minimization for Game Options in Discrete Time
Mathematical Finance
2018-08-07 v1 Risk Management
Authors:
Yuri Kifer
Abstract
We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time
Cite
@article{arxiv.1807.11703,
title = {Shortfall Minimization for Game Options in Discrete Time},
author = {Yuri Kifer},
journal= {arXiv preprint arXiv:1807.11703},
year = {2018}
}
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