TY - JOUR
T1 - A Note on the Valuation of American Option
JO - Journal of Partial Differential Equations
VL - 1
SP - 29
EP - 36
PY - 2003
DA - 2003/02
SN - 16
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/jpde/5403.html
KW - American option
KW - Free boundary problems
AB -  American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous.