Shortfall Minimization for Game Options in Discrete Time
Yuri Kifer
TL;DR
This paper proves the existence of a self-financing strategy that minimizes shortfall for game options in discrete time, contributing to risk management strategies in financial mathematics.
Contribution
It introduces a new proof of the existence of shortfall-minimizing strategies specifically for game options in discrete-time models.
Findings
Existence of a self-financing shortfall-minimizing strategy
Applicable to discrete-time game options
Advances risk management in financial derivatives
Abstract
We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time
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Taxonomy
TopicsStochastic processes and financial applications · Economic theories and models