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

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DOI: 10.4236/am.2014.58122    2,115 Downloads   3,001 Views   Citations

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.


Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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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