Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

DOI10.1137/S0036142900370137zbMath0996.91064OpenAlexW2005558064MaRDI QIDQ4539350

Walter Allegretto, Hongtao Yang, Yan Ping Lin

Publication date: 8 July 2002

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142900370137

zbMATH Keywords

finite element method variational inequality error estimate American options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Portfolio theory (91G10)

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