Finite element error estimates for a nonlocal problem in American option valuation

Walter Allegretto, Yanping Lin, Hongtao Yang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

39 Citations (Scopus)


Based on new exact formulations of American option problems on bounded domains, error estimates are established for finite element approximations of American option prices under admissible regularity. Some numerical results are also presented.
Original languageEnglish
Pages (from-to)834-857
Number of pages24
JournalSIAM Journal on Numerical Analysis
Issue number3
Publication statusPublished - 1 Dec 2002
Externally publishedYes


  • American option
  • Error estimate
  • Finite element method
  • Variational inequality

ASJC Scopus subject areas

  • Numerical Analysis

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