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

Djaber Chemseddine Benchettah, Mohamed Haiour

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

DOI: 10.4236/am.2014.58122                

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

Conflicts of Interest

The authors declare no conflicts of interest.

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