Exercisability Randomization of the American Option
The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably simplifies the problematic by transforming the free boundary problem into an evolu...
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| Format: | article |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/11073/16670 |
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