Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation
DOI10.1137/19M1265958zbMath1429.91344OpenAlexW3000255816WikidataQ126399168 ScholiaQ126399168MaRDI QIDQ5210536
A. V. Lapin, Shuhua Zhang, R. Z. Dautov
Publication date: 21 January 2020
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1265958
finite element methodvariational inequalitycharacteristic methodAmerican optiondegenerate in space variable operator
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) 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)
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