Superconvergence estimates of finite element methods for American options
DOI10.1007/S10492-009-0012-XzbMATH Open1212.65252OpenAlexW2022230044MaRDI QIDQ993293FDOQ993293
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
Recommendations
finite element methodsvariational inequalitya posteriori error estimatorsAmerican optionsinterpolation postprocessingoptimal and superconvergent estimates
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)
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