| dc.contributor.author | Leduc, Guillaume | |
| dc.date.accessioned | 2018-03-21T12:48:03Z | |
| dc.date.available | 2018-03-21T12:48:03Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Leduc, Guillaume. "The Randomized American Option as a Classical Solution to the Penalized Problem." Journal of Function Spaces 2015 (2015): 5 | en_US |
| dc.identifier.issn | 2314-8888 | |
| dc.identifier.issn | 2314-8896 | |
| dc.identifier.uri | http://hdl.handle.net/11073/9254 | |
| dc.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. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Hindawi | en_US |
| dc.relation.uri | http://dx.doi.org/10.1155/2015/245436 | en_US |
| dc.title | The Randomized American Option as a Classical Solution to the Penalized Problem | en_US |
| dc.type | Article | en_US |
| dc.type | Published version | en_US |
| dc.type | Peer-Reviewed | en_US |
| dc.identifier.doi | 10.1155/2015/245436 | |
