On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation

DOI10.1080/07362990600958952zbMath1133.91437OpenAlexW2094551972WikidataQ59416205 ScholiaQ59416205MaRDI QIDQ3423712

Guang-Hui Wang, Songgui Wang

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600958952

zbMATH Keywords

finite difference methodAmerican option pricingcomplementarity problemdegenerate parabolic PDE

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Related Items

Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation, Unnamed Item, Numerical solution for a parabolic obstacle problem with nonsmooth initial data

Cites Work

• The Pricing of Options and Corporate Liabilities
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• A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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