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

Authors
Allegretto, W Lin, YP Yang, HT
Citation
W. Allegretto et al., Finite element error estimates for a nonlocal problem in American option valuation, SIAM J NUM, 39(3), 2001, pp. 834-857
Citations number
31
Categorie Soggetti
Mathematics
Journal title
SIAM JOURNAL ON NUMERICAL ANALYSIS
ISSN journal
00361429 → ACNP
Volume
39
Issue
3
Year of publication
2001
Pages
834 - 857
Database
ISI
SICI code
0036-1429(20010831)39:3<834:FEEEFA>2.0.ZU;2-9
Abstract
Based on new exact formulations of American option problems on bounded doma ins, error estimates are established for finite element approximations of A merican option prices under admissible regularity. Some numerical results a re also presented.