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

Walter Allegretto; Yanping Lin; Hongtao Yang

doi:10.1137/S0036142900370137

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

Walter Allegretto, Yanping Lin, Hongtao Yang

Research output: Journal article publication › Journal article › Academic research › peer-review

44 Citations (Scopus)

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
Pages (from-to)	834-857
Number of pages	24
Journal	SIAM Journal on Numerical Analysis
Volume	39
Issue number	3
DOIs	https://doi.org/10.1137/S0036142900370137
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

More information

10.1137/S0036142900370137

Cite this

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KW - Variational inequality

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U2 - 10.1137/S0036142900370137

DO - 10.1137/S0036142900370137

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JF - SIAM Journal on Numerical Analysis

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

Abstract

Keywords

ASJC Scopus subject areas

More information

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