Shortfall Minimization for Game Options in Discrete Time

arxiv: 1807.11703 · v1 · pith:UJPT2ET7new · submitted 2018-07-31 · 💱 q-fin.MF · q-fin.RM

Yuri Kifer This is my paper

classification 💱 q-fin.MF q-fin.RM

keywords discretegameoptionsshortfalltimeexistenceminimizationminimizes

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We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time

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