AN ERROR ANALYSIS OF A FINITE ELEMENT METHOD WITH IMEX-TIME SEMIDISCRETIZATIONS FOR SOME PARTIAL INTEGRO-DIFFERENTIAL INEQUALITIES ARISING IN THE PRICING OF AMERICAN OPTIONS

被引：19
|
作者：
Kadalbajoo, Mohan K. [1 ]
Tripathi, Lok Pati [1 ]
Kumar, Alpesh [1 ]
机构：
[1] IIT Kanpur, Dept Math & Stat, Kanpur 208016, Uttar Pradesh, India
来源：
SIAM JOURNAL ON NUMERICAL ANALYSIS | 2017年 / 55卷 / 02期
关键词：
American option; parabolic partial integro-differential inequality; finite element method; IMEX-time semidiscretizations; error estimates; OPTIMAL CONVERGENCE RATE; JUMP-DIFFUSION; NUMERICAL-ANALYSIS; DIFFERENCE SCHEME; EQUATIONS;
D O I：
10.1137/16M1074746
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The aim of this article is to develop and analyze a finite element method, combined with implicit-explicit (IMEX) time semidiscretizations, for pricing American options under Merton's and Kou's jump-diffusion models. Under realistic regularity assumptions on the data, some error estimates are established. The theoretical findings and the efficiency of the proposed methods are demonstrated by several numerical experiments.
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页码：869 / 891
页数：23
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