Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

Authors:
Walter Allegretto;Yanping Lin;Hongtao Yang
Affiliations:
-;-;-
Venue:
SIAM Journal on Numerical Analysis
Year:
2001

Citing 0
Cited 4

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Optimal convergence rate of the explicit finite difference scheme for American option valuation

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A Numerical Analysis of American Options with Regime Switching

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Abstract

Based on new exact formulations of American option problems on bounded domains, error estimates are established for finite element approximations of American option prices under admissible regularity. Some numerical results are also presented.