Université Paris 6
Pierre et Marie Curie | Université Paris 7
Denis Diderot | |

CNRS U.M.R. 7599
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``Probabilités et Modèles Aléatoires''
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**Auteur(s): **

**Code(s) de Classification MSC:**

- 93E20 Optimal stochastic control
- 35C15 Integral representations of solutions of PDE
- 91B28 Finance, portfolios, investment

**Résumé:** We study a maturity randomization technique for approximating
optimal control problems. The algorithm is based on a sequence of
control problems with random terminal horizon which converges to
the original one. This is a generalization of the so-called {\it
Canadization} procedure suggested by P. Carr in [2] for
the fast computation of American put option prices. In addition to
the original application of this technique to optimal stopping
problems, we provide an application to another problem in finance,
namely the super-replication problem under stochastic volatility,
and we show that the approximating value functions can be computed
explicitly.

**Mots Clés:** *optimal stopping ; stochastic control ; uncertain volatility models
*

**Date:** 2004-09-08

**Prépublication numéro:** *PMA-929*