Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation

DOI10.1080/10556780903049942zbMath1228.90132OpenAlexW2034200880WikidataQ59416180 ScholiaQ59416180MaRDI QIDQ3161137

Guang-Hui Wang, Songgui Wang

Publication date: 12 October 2010

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556780903049942

zbMATH Keywords

variational inequalityAmerican option pricingerror boundsfinite element analysisBlack-Scholes equationcomplementarity problemnon-smooth datadegenerate parabolic partial differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)

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