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- W2034200880 abstract "This paper deals with the approximation of solutions to a degenerate variational inequality of parabolic type with a non-smooth final condition arising from American option pricing by the piecewise linear finite element method in space and an implicit time-stepping scheme. We show that the error of the approximation in a weighted Sobolev norm is of order 𝒪(h 2/3+Δ t 1/3) under some realistic regularity assumptions on the exact solution, where h and Δ t denote the mesh parameters in space and time, respectively. Numerical examples are presented to confirm our theoretical results." @default.
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- W2034200880 date "2010-10-01" @default.
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- W2034200880 title "Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation" @default.
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- W2034200880 doi "https://doi.org/10.1080/10556780903049942" @default.
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