L<sup>∞</sup>-Asymptotic Behavior of the Variational Inequality Related to American Options Problem

• 作者: Djaber Chemseddine Benchettah Mohamed Haiour
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: American OPTIONS Finite Elements PARABOLIC Variational INEQUALITIES Fixed Point Asymptotic Behavior
• 年，卷（期）: 2014,（8）
• 页码范围: 1299-1309
• 页数: 11页
• 分类号: O1

摘要

We study the approximation of variational inequality related to American options problem. A simple proof to asymptotic behavior is also given using the theta time scheme combined with a finite element spatial approximation in uniform norm, which enables us to locate free boundary in practice.