TITLE:
L∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem
AUTHORS:
Djaber Chemseddine Benchettah, Mohamed Haiour
KEYWORDS:
American Options, Finite Elements, Parabolic Variational Inequalities, Fixed Point, Asymptotic Behavior
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.8,
May
15,
2014
ABSTRACT: We study the
approximation of variational inequality related to American options problem. A
simple proof to asymptotic behavior is also given using the theta time scheme
combined with a finite element spatial approximation in uniform norm, which
enables us to locate free boundary in practice.