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：20

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.

引用

页码：869 / 891

页数：23

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