Sharp error estimate for implicit finite element scheme for American put option

DOI10.1515/rnam-2019-0007zbMath1418.91597OpenAlexW2940126063WikidataQ128038166 ScholiaQ128038166MaRDI QIDQ2313312

R. Z. Dautov, A. V. Lapin

Publication date: 19 July 2019

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2019-0007

zbMATH Keywords

finite element methodvariational inequalitydegenerate parabolic equationAmerican optioncomplementarity problemBlack-Scholes operator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Error estimates for backward Euler finite element approximations of American call option valuation ⋮ Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation

Cites Work

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• An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
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