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

DOI: 10.4236/am.2014.58122   PDF   HTML     2,218 Downloads   3,175 Views   Citations


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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.


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