Superconvergence estimates of finite element methods for American options
DOI10.1007/s10492-009-0012-xzbMath1212.65252OpenAlexW2022230044MaRDI QIDQ993293
Tang Liu, Qun Lin, 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
variational inequalityfinite element methodsAmerican optionsa posteriori error estimatorsinterpolation postprocessingoptimal and superconvergent estimates
Numerical methods (including Monte Carlo methods) (91G60) 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) Portfolio theory (91G10)
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Cites Work
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