Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 997-1012 |
| Number of pages | 16 |
| Journal | Journal of Applied Probability |
| Volume | 47 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Dec 2010 |
| Externally published | Yes |
Keywords
- American option
- Shortfall risk
- Weak convergence