Abstract
In this paper, we present the a posteriori error analysis for the finite element approximation of American option valuation problems. We introduce an efficient and reliable error estimator both for the semi discrete and fully discrete backward Euler scheme.
| Original language | English |
|---|---|
| Pages (from-to) | 957-978 |
| Number of pages | 22 |
| Journal | Discrete and Continuous Dynamical Systems - Series B |
| Volume | 6 |
| Issue number | 5 |
| Publication status | Published - 1 Sept 2006 |
| Externally published | Yes |
Keywords
- A posteriori error analysis
- Adaptive finite element methods
- American option
ASJC Scopus subject areas
- General Mathematics
- Discrete Mathematics and Combinatorics
- Applied Mathematics