L∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem - Applied Mathematics

AM > Vol.5 No.8, May 2014

Applied Mathematics

Volume 5, Issue 8 (May 2014)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

L^∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem ()

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DOI: 10.4236/am.2014.58122 2,443 Downloads 3,709 Views Citations

Author(s)

Djaber Chemseddine Benchettah, Mohamed Haiour

Affiliation(s)

Department of Mathematics, Faculty of Science, Badji-Mokhtar-Annaba University, P.O. Box 12, Annaba, Algeria.

ABSTRACT

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.

KEYWORDS

American Options, Finite Elements, Parabolic Variational Inequalities, Fixed Point, Asymptotic Behavior

Share and Cite:

Benchettah, D. and Haiour, M. (2014) L^∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem. Applied Mathematics, 5, 1299-1309. doi: 10.4236/am.2014.58122.

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