摘要翻译：
我们证明了在离散时间和连续时间情形下，博弈（以色列）期权的二项式逼近的缺口风险收敛于相应的Black-Scholes市场中的缺口风险，该市场考虑了Lipschitz连续路径相关的收益。这些结果对于通常的美式选择也是新的。本文继续并扩展了Kifer[Ann.appl.probab.16(2006)984-1033]的研究，得到了博弈期权价格的二项式近似估计。我们的论点特别依赖于通过Skorokhod嵌入的强不变性原理类型逼近、Kifer[Ann.appl.probab.16(2006)984-1033]的估计以及Dolinsky和Kifer[Stochastics79(2007)169-195]建立的离散时间内最优缺口套期保值的存在性。
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英文标题：
《Binomial approximations of shortfall risk for game options》
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作者：
Yan Dolinsky, Yuri Kifer
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最新提交年份：
2008
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style options. The paper continues and extends the study of Kifer [Ann. Appl. Probab. 16 (2006) 984--1033] where estimates for binomial approximations of prices of game options were obtained. Our arguments rely, in particular, on strong invariance principle type approximations via the Skorokhod embedding, estimates from Kifer [Ann. Appl. Probab. 16 (2006) 984--1033] and the existence of optimal shortfall hedging in the discrete time established by Dolinsky and Kifer [Stochastics 79 (2007) 169--195].
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PDF链接：
https://arxiv.org/pdf/0811.1896