A posteriori error analysis for FEM of American options

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	A posteriori error analysis for FEM of American options
	Allegretto, W ; Lin, YP ; Yan, NN
	2006-09-01
发表期刊	DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B
ISSN	1531-3492
卷号	6 期号:5 页码:957-978
摘要	In this paper, we present the a posteriori error analysis for the finite element approximation of American option valuation problems. We introduce an efficient and reliable error estimator both for the semi discrete and fully discrete backward Euler scheme.
关键词	American option adaptive finite element methods a posteriori error analysis
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000238419200001
出版者	AMER INST MATHEMATICAL SCIENCES
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2881
专题	中国科学院数学与系统科学研究院
通讯作者	Allegretto, W
作者单位	1.Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Allegretto, W,Lin, YP,Yan, NN. A posteriori error analysis for FEM of American options[J]. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B,2006,6(5):957-978.
APA	Allegretto, W,Lin, YP,&Yan, NN.(2006).A posteriori error analysis for FEM of American options.DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B,6(5),957-978.
MLA	Allegretto, W,et al."A posteriori error analysis for FEM of American options".DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B 6.5(2006):957-978.