Sharp error estimate for implicit finite element scheme for American put option

dc.contributor.author	Dautov R.
dc.contributor.author	Lapin A.
dc.date.accessioned	2020-01-22T20:34:17Z
dc.date.available	2020-01-22T20:34:17Z
dc.date.issued	2019
dc.identifier.issn	0927-6467
dc.identifier.uri	https://dspace.kpfu.ru/xmlui/handle/net/157948
dc.description.abstract	© 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.
dc.relation.ispartofseries	Russian Journal of Numerical Analysis and Mathematical Modelling
dc.subject	American option
dc.subject	Black-Scholes operator
dc.subject	complementarity problem
dc.subject	degenerate parabolic equation
dc.subject	finite element method
dc.subject	variational inequality
dc.title	Sharp error estimate for implicit finite element scheme for American put option
dc.type	Article
dc.relation.ispartofseries-issue	2
dc.relation.ispartofseries-volume	34
dc.collection	Публикации сотрудников КФУ
dc.relation.startpage	85
dc.source.id	SCOPUS09276467-2019-34-2-SID85064842005

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Публикации сотрудников КФУ Scopus [24551]
Коллекция содержит публикации сотрудников Казанского федерального (до 2010 года Казанского государственного) университета, проиндексированные в БД Scopus, начиная с 1970г.