Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (Q3161137)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation |
scientific article |
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Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (English)
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12 October 2010
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variational inequality
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complementarity problem
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finite element analysis
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error bounds
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American option pricing
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Black-Scholes equation
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non-smooth data
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degenerate parabolic partial differential equations
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