Finite Difference Approximation for Pricing the American Lookback Option

DOI10.4208/jcm.2009.27.4.015zbMath1212.65464OpenAlexW2076865563MaRDI QIDQ5900998

Shiquan Zhang, Yumei Chen, Xiaoping Xie

Publication date: 8 July 2010

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jcm.2009.27.4.015

zbMATH Keywords

error estimatesuniform stabilitynumerical experimentsfinite elementPoisson's equationDarcy-Stokes problemsingularly perturbation

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05)

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