The Randomized American Option as a Classical Solution to the Penalized Problem
In this paper, we connect the randomized American option to the penalty method, showing that not only does its value u solve the canonical penalty problem, but also it is a classical solution to this Cauchy problem and, for a given maturity, Au is bounded.
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| Format: | article |
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2015
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| Online Access: | http://hdl.handle.net/11073/9254 |
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