On Shortfall Risk Minimization for Game Options
Mathematical Finance
2020-02-06 v1
Abstract
In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) model. Our first result says that in the case where the game contingent claim (GCC) can be exercised only on a finite set of times, there exists an optimal strategy. Our second and main result is an example which demonstrates that for the case where the GCC can be stopped on the all time interval, optimal portfolio strategies need not always exist.
Keywords
Cite
@article{arxiv.2002.01528,
title = {On Shortfall Risk Minimization for Game Options},
author = {Yan Dolinsky},
journal= {arXiv preprint arXiv:2002.01528},
year = {2020}
}
Comments
13 pages