Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow

Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow We consider the approximation scheme to the American call option via the discrete Morse semiflow, which is a minimizing scheme of a time semi-discretized variational functional. In this paper we obtain a rate of convergence of approximate solutions and the convergence of approximate free boundaries. We mainly apply the theory of variational inequalities and that of viscosity solutions to prove our results. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow

Loading next page...
 
/lp/springer_journal/convergence-of-the-approximation-scheme-to-american-option-pricing-via-DpK3I3KLhT
Publisher
Springer-Verlag
Copyright
Copyright © 2011 by Springer Science+Business Media, LLC
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Theoretical, Mathematical and Computational Physics; Numerical and Computational Physics; Mathematical Methods in Physics; Systems Theory, Control
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-011-9145-x
Publisher site
See Article on Publisher Site

Abstract

We consider the approximation scheme to the American call option via the discrete Morse semiflow, which is a minimizing scheme of a time semi-discretized variational functional. In this paper we obtain a rate of convergence of approximate solutions and the convergence of approximate free boundaries. We mainly apply the theory of variational inequalities and that of viscosity solutions to prove our results.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2011

References

  • Convergence of American option values from discrete- to continuous-time financial models
    Amin, K.; Khanna, A.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve Freelancer

DeepDyve Pro

Price
FREE
$49/month

$360/year
Save searches from Google Scholar, PubMed
Create lists to organize your research
Export lists, citations
Access to DeepDyve database
Abstract access only
Unlimited access to over
18 million full-text articles
Print
20 pages/month
PDF Discount
20% off