A posteriori error analysis for FEM of American options
DOI10.3934/DCDSB.2006.6.957zbMath1260.91255OpenAlexW2324668206MaRDI QIDQ862119
Walter Allegretto, Yan Ping Lin, Ning-Ning Yan
Publication date: 5 February 2007
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2006.6.957
Numerical methods (including Monte Carlo methods) (91G60) 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)
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