Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation

DOI10.1080/10556780903049942zbMath1228.90132WikidataQ59416180 ScholiaQ59416180MaRDI QIDQ3161137

Guang-Hui Wang, Songgui Wang

Publication date: 12 October 2010

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556780903049942

zbMATH Keywords

variational inequality; American option pricing; error bounds; finite element analysis; Black-Scholes equation; complementarity problem; non-smooth data; degenerate parabolic partial differential equations

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

91G20: Derivative securities (option pricing, hedging, etc.)