Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow |
| |
| Authors: | Katsuyuki Ishii Seiro Omata |
| |
| Affiliation: | 1.Graduate School of Maritime Sciences,Kobe University,Higashinada,Japan;2.School of Mathematics and Physics, Institute of Science and Engineering,Kanazawa University,Kanazawa,Japan |
| |
| Abstract: | We consider the approximation scheme to the American call option via the discrete Morse semiflow, which is a minimizing scheme of a time semi-discretized variational functional. In this paper we obtain a rate of convergence of approximate solutions and the convergence of approximate free boundaries. We mainly apply the theory of variational inequalities and that of viscosity solutions to prove our results. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
