Новая публикация кафедры вычислительной математики

В журнале SIAM Journal on Numerical Analysis, который имеет квартиль Q1 по вычислительной математике, опубликована статья профессора кафедры вычислительной математики Р.З. Даутова   Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation.

Abstract

The Lagrange--Galerkin scheme is studied for degenerate parabolic variational inequality arising in connection with the pricing of American options. This scheme is constructed using a combination of characteristic method for approximating the material derivative and the finite element method for approximating the diffusion part of the equation. The accuracy of the constructed discrete scheme is established by comparing it with the known implicit time stepping (backward Euler) finite element scheme. An error estimate of $O(h + \tau^{3/4})$ in the energy norm of the differential operator of the problem is obtained, where $h$ and $\tau$ denote the mesh parameters in space and time, respectively. The results of numerical calculations presented in the article for some American call options problems indicate the optimality of the theoretical error estimate.

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Permalink: https://doi.org/10.1137/19M1265958