SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS | |
Lin, Qun2![]() | |
刊名 | APPLICATIONS OF MATHEMATICS
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2009-06-01 | |
卷号 | 54期号:3页码:181-202 |
关键词 | American options variational inequality finite element methods optimal and superconvergent estimates interpolation postprocessing a posteriori error estimators |
ISSN号 | 0862-7940 |
英文摘要 | In this paper we are concerned with finite element approximations to the evaluation of American options. First, following W. Allegretto etc., SIAM J. Numer. Anal. 39 (2001), 834-857, we introduce a novel practical approach to the discussed problem, which involves the exact reformulation of the original problem and the implementation of the numerical solution over a very small region so that this algorithm is very rapid and highly accurate. Secondly by means of a superapproximation and interpolation postprocessing analysis technique, we present sharp L(2)-,L(infinity)-norm error estimates and an H(1)-norm superconvergence estimate for this finite element method. As a by-product, the global superconvergence result can be used to generate an efficient a posteriori error estimator. |
资助项目 | National Natural Science Foundation of China[10471103] ; National Natural Science Foundation of China[10771158] ; National Basic Research Program[2007CB814906] ; Social Science Foundation of the Ministry of Education of China[06JA630047] ; Tianjin Natural Science Foundation[07JCYBJC14300] ; Tianjin University of Finance and Economics |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | ACAD SCIENCES CZECH REPUBLIC, INST MATHEMATICS |
WOS记录号 | WOS:000266945200002 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8998] ![]() |
专题 | 计算数学与科学工程计算研究所 |
通讯作者 | Zhang, Shuhua |
作者单位 | 1.Tianjin Univ Finance & Econ, Res Ctr Math & Econ, Tianjin 300222, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, ICMSEC, Beijing 100080, Peoples R China |
推荐引用方式 GB/T 7714 | Lin, Qun,Liu, Tang,Zhang, Shuhua. SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS[J]. APPLICATIONS OF MATHEMATICS,2009,54(3):181-202. |
APA | Lin, Qun,Liu, Tang,&Zhang, Shuhua.(2009).SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS.APPLICATIONS OF MATHEMATICS,54(3),181-202. |
MLA | Lin, Qun,et al."SUPERCONVERGENCE ESTIMATES OF FINITE ELEMENT METHODS FOR AMERICAN OPTIONS".APPLICATIONS OF MATHEMATICS 54.3(2009):181-202. |
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