Mixed finite element approximations for obstacle problems with applications to American options /

American option pricing problems give rise to free-boundary problems and obstacle problems. Mixed finite element methods can be applied to these problems for a very accurate approximation of the delta in the delta hedging formula. The stability and an optimal order error estimate of the mixed approx...

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Bibliographic Details

Main Author:	Huang, Hong
Format:	Thesis Book
Language:	English
Published:	[Place of publication not identified] : [publisher not identified] ; 1999.
Subjects:	Major mathematics.
Online Access:	http://proxy.library.tamu.edu/login?url=http://proquest.umi.com/pqdweb?did=731686321&sid=1&Fmt=2&clientId=2945&RQT=309&VName=PQD