Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation
DOI10.1137/19M1265958zbMath1429.91344OpenAlexW3000255816WikidataQ126399168 ScholiaQ126399168MaRDI QIDQ5210536
A. V. Lapin, Shuhua Zhang, R. Z. Dautov
Publication date: 21 January 2020
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1265958
finite element methodvariational inequalitycharacteristic methodAmerican optiondegenerate in space variable operator
Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Free boundary problems for PDEs (35R35)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An \(L^ 2\)-error estimate for an approximation of the solution of a parabolic variational inequality
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- Superconvergence estimates of finite element methods for American options
- Evaluation de l'erreur d'approximation pour une inéquation parabolique rélative aux convexes dependant du temps
- An upwind approach for an American and European option pricing model
- Numerical techniques for pricing callable bonds with notice
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- Investigation of Lagrange-Galerkin method for an obstacle parabolic problem
- Error estimates for backward Euler finite element approximations of American call option valuation
- Sharp error estimate for implicit finite element scheme for American put option
- Accuracy of discrete schemes for a class of abstract evolution inequalities
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- Approximations of parabolic variational inequalities
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- A Convergence Estimate for an Approximation of a Parabolic Variational Inequality
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Computational Methods for Option Pricing
- An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options