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Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model

Part of:Limit theorems

Published online by Cambridge University Press:  14 July 2016

Yan Dolinsky
Yan Dolinsky*
Affiliation:
ETH Zürich
*
∗ Postal address: Department of Mathematics, ETH Zürich, 8092 Zürich, Switzerland. Email address: yan.dolinsky@math.ethz.ch
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Abstract

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We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black-Scholes (BS) market converge to the corresponding quantities for similar American options in the multidimensional BS market with path-dependent payoffs. In comparison to previous papers we consider the multiassets case for which we use the weak convergence approach.

Keywords

American optionshortfall riskweak convergence

MSC classification

Secondary:60F05: Central limit and other weak theorems

Information

Type
Research Article
Information
Journal of Applied Probability , Volume 47 , Issue 4 , December 2010, pp. 997 - 1012
Copyright
Copyright © Applied Probability Trust 2010 

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