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

Dautov, RZ; Lapin, AV

Lapin, AV (reprint author), Kazan Volga Reg Fed Univ, Inst Computat Math & Informat Technol, Kazan 420008, Russia.; Lapin, AV (reprint author), Tianjin Univ Finance & Econ, Tianjin, Peoples R China.

RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING, 2019; 34 (2): 85

Abstract

We investigate a numerical solution method for a degenerate parabolic variational inequality that determines American vanilla put pricing. This method......

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