An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options

DOI10.1137/16M1074746zbMath1362.65094MaRDI QIDQ5347524

Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi

Publication date: 24 May 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

error estimates; finite element method; American option; IMEX-time semidiscretizations; parabolic partial integro-differential inequality

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60G40: Stopping times; optimal stopping problems; gambling theory

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

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

65K15: Numerical methods for variational inequalities and related problems