SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS

	SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS
	Lin, Qun2 ; Liu, Tang 1; Zhang, Shuhua 1
	2009-06-01
发表期刊	APPLICATIONS OF MATHEMATICS
ISSN	0862-7940
卷号	54 期号:3 页码:181-202
摘要	In this paper we are concerned with finite element approximations to the evaluation of American options. First, following W. Allegretto etc., SIAM J. Numer. Anal. 39 (2001), 834-857, we introduce a novel practical approach to the discussed problem, which involves the exact reformulation of the original problem and the implementation of the numerical solution over a very small region so that this algorithm is very rapid and highly accurate. Secondly by means of a superapproximation and interpolation postprocessing analysis technique, we present sharp L(2)-,L(infinity)-norm error estimates and an H(1)-norm superconvergence estimate for this finite element method. As a by-product, the global superconvergence result can be used to generate an efficient a posteriori error estimator.
关键词	American options variational inequality finite element methods optimal and superconvergent estimates interpolation postprocessing a posteriori error estimators
语种	英语
资助项目	National Natural Science Foundation of China[10471103] ; National Natural Science Foundation of China[10771158] ; National Basic Research Program[2007CB814906] ; Social Science Foundation of the Ministry of Education of China[06JA630047] ; Tianjin Natural Science Foundation[07JCYBJC14300] ; Tianjin University of Finance and Economics
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000266945200002
出版者	ACAD SCIENCES CZECH REPUBLIC, INST MATHEMATICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8999
专题	计算数学与科学工程计算研究所
通讯作者	Zhang, Shuhua
作者单位	1.Tianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin 300222, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, ICMSEC, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Lin, Qun,Liu, Tang,Zhang, Shuhua. SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS[J]. APPLICATIONS OF MATHEMATICS,2009,54(3):181-202.
APA	Lin, Qun,Liu, Tang,&Zhang, Shuhua.(2009).SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS.APPLICATIONS OF MATHEMATICS,54(3),181-202.
MLA	Lin, Qun,et al."SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS".APPLICATIONS OF MATHEMATICS 54.3(2009):181-202.