Finite element error estimates for a nonlocal problem in American option valuation

SIAM Journal on Numerical Analysis

Volumn 39, Issue 3, 2002, Pages 834-857

  Allegretto, Walter ^a   Lin, Yanping ^a   Yang, Hongtao ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

American option; Error estimate; Finite element method; Variational inequality

Indexed keywords

EID: 0035382419     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142900370137     Document Type: Article

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