L∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem ()
Affiliation(s)
ABSTRACT
We study the approximation of variational inequality related to American options problem. A simple proof to asymptotic behavior is also given using the theta time scheme combined with a finite element spatial approximation in uniform norm, which enables us to locate free boundary in practice.
KEYWORDS
Share and Cite:
Copyright © 2024 by authors and Scientific Research Publishing Inc.
This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.