L-Asymptotic Behavior of the Variational Inequality Related to American Options Problem

HTML  Download Download as PDF (Size: 402KB)  PP. 1299-1309  
DOI: 10.4236/am.2014.58122    2,442 Downloads   3,707 Views  Citations

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.


Share and Cite:

Benchettah, D. and Haiour, M. (2014) L-Asymptotic Behavior of the Variational Inequality Related to American Options Problem. Applied Mathematics, 5, 1299-1309. doi: 10.4236/am.2014.58122.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.