Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow
Journal Article
·
· Applied Mathematics and Optimization
- Kobe University, Graduate School of Maritime Sciences (Japan)
- Kanazawa University, School of Mathematics and Physics, Institute of Science and Engineering (Japan)
We consider the approximation scheme to the American call option via the discrete Morse semiflow, which is a minimizing scheme of a time semi-discretized variational functional. In this paper we obtain a rate of convergence of approximate solutions and the convergence of approximate free boundaries. We mainly apply the theory of variational inequalities and that of viscosity solutions to prove our results.
- OSTI ID:
- 22043840
- Journal Information:
- Applied Mathematics and Optimization, Vol. 64, Issue 3; Other Information: Copyright (c) 2011 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
On the convergence of an IEQ-based first-order semi-discrete scheme for the Beris-Edwards system
Semi-discrete approximations to nonlinear systems of conservation laws; consistency and L(infinity)-stability imply convergence. Final report
On the convergence and convergence order of finite volume gradient schemes for oblique derivative boundary value problems
Journal Article
·
Wed Nov 29 00:00:00 EST 2023
· ESAIM: Mathematical Modelling and Numerical Analysis
·
OSTI ID:22043840
Semi-discrete approximations to nonlinear systems of conservation laws; consistency and L(infinity)-stability imply convergence. Final report
Technical Report
·
Fri Jul 01 00:00:00 EDT 1988
·
OSTI ID:22043840
On the convergence and convergence order of finite volume gradient schemes for oblique derivative boundary value problems
Journal Article
·
Sun Jul 15 00:00:00 EDT 2018
· Computational and Applied Mathematics
·
OSTI ID:22043840