Loading...
The Randomized American Option as a Classical Solution to the Penalized Problem
Leduc, Guillaume
Leduc, Guillaume
Date
2015
Author
Advisor
Type
Article
Published version
Peer-Reviewed
Published version
Peer-Reviewed
Degree
Citations
Altmetric:
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.