Error estimates for backward Euler finite element approximations of American call option valuation
DOI10.1134/S199508022004006XzbMath1445.91069OpenAlexW3046069517MaRDI QIDQ2206646
Publication date: 28 October 2020
Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s199508022004006x
error estimatesfinite element methodvariational inequalityAmerican call optionBlack-Scholes operator
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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Cites Work
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