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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| Format: | Thesis Book |
| Language: | English |
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[Place of publication not identified] :
[publisher not identified] ;
1999.
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| 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 |
| Summary: | 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 approximation is derived. For solving the discrete mixed formulation, a numerical algorithm based on Schwarz alternating method is constructed and the convergence of the algorithm is established. It is also proved that the algorithm can be generalized for solving second order problems with tensor matrices and general meshes. Some option problems of American type on one or two assets have been described and related computational results are reported. |
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| Item Description: | Vita. "Major Subject: Mathematics". |
| Physical Description: | ix, 86 leaves : illustrations ; 28 cm. Issued also on microfiche from University Microfilm Inc. |
| Bibliography: | Includes bibliographical references (leaves 81-85). |