Аннотации:
© 2019 Walter de Gruyter GmbH, Berlin/Boston 2019. We investigate a numerical solution method for a degenerate parabolic variational inequality that determines American vanilla put pricing. This method is based on piecewise linear finite elements in spatial variables and the backward Euler finite difference in time variable. For the approximate solution, we get sharp error estimate of order O(h+τ3/4) in the energy norm of the corresponding differential operator.