The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
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Publication:2873140
DOI10.1137/12087743XzbMath1282.91330arXiv1008.0836OpenAlexW1997754871MaRDI QIDQ2873140
Jan Hendrik Witte, S. D. Howison, Christoph Reisinger
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.0836
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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