Convergence of the Approximation Schemeto American Option Pricing via the Discrete Morse Semiflow
Convergence of the Approximation Schemeto American Option Pricing via the Discrete Morse Semiflow
复制标题
离散莫尔斯半流逼近方案与美式期权定价的收敛
DOI：
10.1007/s00245-011-9145-x
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Seiro Omata
中科院分区：
文献类型：
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作者：
Katsuyuki Ishii;Seiro Omata
考虑了美式看涨期权的离散莫尔斯半流逼近格式，该格式是时间半离散变分泛函的极小化格式。本文得到了近似解的收敛速度和近似自由边界的收敛性。我们主要应用变分不等式理论和粘性解理论来证明我们的结果。
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.