A posteriori error analysis for FEM of American options
文献类型：期刊论文
| 作者 | Allegretto, W; Lin, YP; Yan, NN |
| 刊名 | DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B
 |
| 出版日期 | 2006-09-01 |
| 卷号 | 6期号:5页码:957-978 |
| 关键词 | American option adaptive finite element methods a posteriori error analysis |
| ISSN号 | 1531-3492 |
| 英文摘要 | In this paper, we present the a posteriori error analysis for the finite element approximation of American option valuation problems. We introduce an efficient and reliable error estimator both for the semi discrete and fully discrete backward Euler scheme. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000238419200001 |
| 出版者 | AMER INST MATHEMATICAL SCIENCES |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2880]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Allegretto, W |
| 作者单位 | 1.Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Allegretto, W,Lin, YP,Yan, NN. A posteriori error analysis for FEM of American options[J]. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B,2006,6(5):957-978. |
| APA | Allegretto, W,Lin, YP,&Yan, NN.(2006).A posteriori error analysis for FEM of American options.DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B,6(5),957-978. |
| MLA | Allegretto, W,et al."A posteriori error analysis for FEM of American options".DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B 6.5(2006):957-978. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。