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 approxim...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.展开更多
文摘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.
