论文标题
在短缺的风险中最小化游戏选项
On Shortfall Risk Minimization for Game Options
论文作者
论文摘要
在本文中，我们研究了游戏选项设置中的不足风险度量的最佳对冲策略的存在。我们考虑连续的时间黑色 - choles（BS）模型。我们的第一个结果说，在游戏有限索赔（GCC）只能在有限的时间内行使的情况下，存在最佳策略。我们的第二个也是主要结果是一个例子，该例子表明，对于可以在所有时间间隔内停止GCC的情况，最佳投资组合策略并非总是存在。
In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) model. Our first result says that in the case where the game contingent claim (GCC) can be exercised only on a finite set of times, there exists an optimal strategy. Our second and main result is an example which demonstrates that for the case where the GCC can be stopped on the all time interval, optimal portfolio strategies need not always exist.
