Superconvergence estimates of finite element methods for American options

DOI10.1007/S10492-009-0012-XMaRDI QIDQ993293zbMATH OpenOpenAlexFDO

Authors Qun Lin, Tang Liu, Shuhua Zhang

Publication date 10 September 2010

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/37815, http://hdl.handle.net/10338.dmlcz/140359

zbMATH Keywords

finite element methodsvariational inequalitya posteriori error estimatorsAmerican optionsinterpolation postprocessingoptimal and superconvergent estimates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) 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)

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Cited in

(3)

• Error estimates for Lagrange-Galerkin approximation of American options valuation
• A posteriori error analysis for FEM of American options
• scientific article; zbMATH DE number 5732372 (Why is no real title available?)

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