Abstract
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 language | English |
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Pages (from-to) | 834-857 |
Number of pages | 24 |
Journal | SIAM Journal on Numerical Analysis |
Volume | 39 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Dec 2002 |
Externally published | Yes |
Keywords
- American option
- Error estimate
- Finite element method
- Variational inequality
ASJC Scopus subject areas
- Numerical Analysis