scientific article; zbMATH DE number 6870478

MaRDI QIDQ4641841zbMATH OpenFDO

Authors Sofiane Madi, M. Bouras Ch., Mohamed Haiour

Publication date 18 May 2018

zbMATH Keywords

American put optionerror estimate equationsfinite elementvariational inequalities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(2)

• scientific article; zbMATH DE number 5234154 (Why is no real title available?)
• A parabolic variational inequality arising from the valuation of strike reset options

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