The Randomized American Option as a Classical Solution to the Penalized Problem
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,...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | Journal of Function Spaces |
| Online Access: | http://dx.doi.org/10.1155/2015/245436 |
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