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September  2006, 6(5): 957-978. doi: 10.3934/dcdsb.2006.6.957

A posteriori error analysis for FEM of American options

Walter Allegretto 1, , Yanping Lin 1, and  Ningning Yan 2,

1. 

Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton AB, Canada T6G 2G1, Canada
2. 

Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing(100080), China

Received  August 2005 Revised  April 2006 Published  June 2006

In this paper, we present the a posteriori error analysis for the finite element approximation of American option valuation problems. We introduce an efficient and reliable error estimator both for the semi discrete and fully discrete backward Euler scheme.
Keywords: American option, a posteriori error analysis., adaptive finite element methods.
Mathematics Subject Classification: Primary: 49J20; Secondary: 65N3.
Citation: Walter Allegretto, Yanping Lin, Ningning Yan. A posteriori error analysis for FEM of American options. Discrete & Continuous Dynamical Systems - B, 2006, 6 (5) : 957-978. doi: 10.3934/dcdsb.2006.6.957
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