摘要
在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .
In this paper we are concerned with finite element approximation to the evaluation of American options. Firstly, following [4] we introduce a novel practical approach to the problems in question which involves the exact reformation of the original problems and the implementation of the numerical solutions over very small regions, such that this algorithm is very rapid and highly accurate. Secondly, by means of a superapproximation and interpolation postprocessing analysis technique, here we present optimal estimates and global superconvergence in the L2-norm for this method.
出处
《数学的实践与认识》
CSCD
北大核心
2003年第11期72-81,共10页
Mathematics in Practice and Theory
基金
本研究项目得到了天津市高等学校科技发展基金及南开大学天津大学刘徽应用数学中心的资助( 0 2 130 6)
