Browsing by Author "Dautov R.Z."

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Error Estimates for Backward Euler Finite Element Approximations of American Call Option Valuation

Dautov R.Z.; Lapin A.V. (2020)

© 2020, PleiadesT Publishing,T Ltd. Abstract: We investigate the degenerate parabolic variational inequality arising from the local volatility model for the American stock call option with continuous dividend payout. The ...
Error estimates for lagrange-galerkin approximation of American options valuation

Dautov R.Z.; Lapin A.V.; Zhang S. (2020)

© 2020 Society for Industrial and Applied Mathematics. The Lagrange-Galerkin scheme is studied for degenerate parabolic variational inequality arising in connection with the pricing of American options. This scheme is ...
Finite Distributed Element Method for Fractal Element Analysis Based on Multilayer Resistive-Capacitive Media

Gilmutdinov A.K.; Dautov R.Z.; Ushakov P.A. (2020)

© 2020, Pleiades Publishing, Inc. It is shown that the analysis of fractal elements realized on the basis of an inhomogeneous multilayer resistive-capacitive medium using the classical finite element method (FEM) gives ...
Penalty Methods for One-Sided Parabolic Problems with Piecewise Smooth Obstacles

Dautov R.Z. (2021)

Abstract: We give a relatively complete analysis of the penalty methods for one-sided parabolic problems with piecewise smooth obstacles, which include an important subclass of polyhedra. It is shown that the original ...

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