The Randomized American Option as a Classical Solution to the Penalized Problem
Author
Source
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-27
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
We connect the exercisability randomized American option to the penalty method by showing that the randomized American option value u is the unique classical solution to the Cauchy problem corresponding to the canonical penalty problem for American options.
We also establish a uniform bound for Au, where A is the infinitesimal generator of a geometric Brownian motion.
American Psychological Association (APA)
Leduc, Guillaume. 2015. The Randomized American Option as a Classical Solution to the Penalized Problem. Journal of Function Spaces،Vol. 2015, no. 2015, pp.1-5.
https://search.emarefa.net/detail/BIM-1068234
Modern Language Association (MLA)
Leduc, Guillaume. The Randomized American Option as a Classical Solution to the Penalized Problem. Journal of Function Spaces No. 2015 (2015), pp.1-5.
https://search.emarefa.net/detail/BIM-1068234
American Medical Association (AMA)
Leduc, Guillaume. The Randomized American Option as a Classical Solution to the Penalized Problem. Journal of Function Spaces. 2015. Vol. 2015, no. 2015, pp.1-5.
https://search.emarefa.net/detail/BIM-1068234
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1068234