The randomized American option as a classical solution to the penalized problem

DOI10.1155/2015/245436zbMath1331.91178OpenAlexW1956924579WikidataQ59112778 ScholiaQ59112778MaRDI QIDQ898213

Guillaume Leduc

Publication date: 8 December 2015

Published in: Journal of Function Spaces (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/245436

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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