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.
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | article |
| منشور في: |
2015
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| الوصول للمادة أونلاين: | http://hdl.handle.net/11073/9254 |
| الوسوم: |
إضافة وسم
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| _version_ | 1864513444536909824 |
|---|---|
| author | Leduc, Guillaume |
| author_facet | Leduc, Guillaume |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume |
| dc.date.none.fl_str_mv | 2015 2018-03-21T12:48:03Z 2018-03-21T12:48:03Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Leduc, Guillaume. "The Randomized American Option as a Classical Solution to the Penalized Problem." Journal of Function Spaces 2015 (2015): 5 2314-8888 2314-8896 http://hdl.handle.net/11073/9254 10.1155/2015/245436 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Hindawi |
| dc.relation.none.fl_str_mv | http://dx.doi.org/10.1155/2015/245436 |
| dc.title.none.fl_str_mv | The Randomized American Option as a Classical Solution to the Penalized Problem |
| dc.type.none.fl_str_mv | Published version Peer-Reviewed info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| format | article |
| id | aus_7fb5c60d25da23eb067b488d405504de |
| identifier_str_mv | Leduc, Guillaume. "The Randomized American Option as a Classical Solution to the Penalized Problem." Journal of Function Spaces 2015 (2015): 5 2314-8888 2314-8896 10.1155/2015/245436 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/9254 |
| publishDate | 2015 |
| publisher.none.fl_str_mv | Hindawi |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | The Randomized American Option as a Classical Solution to the Penalized ProblemLeduc, GuillaumeIn 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.Hindawi2018-03-21T12:48:03Z2018-03-21T12:48:03Z2015Published versionPeer-Reviewedinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume. "The Randomized American Option as a Classical Solution to the Penalized Problem." Journal of Function Spaces 2015 (2015): 52314-88882314-8896http://hdl.handle.net/11073/925410.1155/2015/245436en_UShttp://dx.doi.org/10.1155/2015/245436oai:repository.aus.edu:11073/92542024-08-22T12:02:16Z |
| spellingShingle | The Randomized American Option as a Classical Solution to the Penalized Problem Leduc, Guillaume |
| status_str | publishedVersion |
| title | The Randomized American Option as a Classical Solution to the Penalized Problem |
| title_full | The Randomized American Option as a Classical Solution to the Penalized Problem |
| title_fullStr | The Randomized American Option as a Classical Solution to the Penalized Problem |
| title_full_unstemmed | The Randomized American Option as a Classical Solution to the Penalized Problem |
| title_short | The Randomized American Option as a Classical Solution to the Penalized Problem |
| title_sort | The Randomized American Option as a Classical Solution to the Penalized Problem |
| url | http://hdl.handle.net/11073/9254 |