@Article{IJNAMB-3-345,
author = {SAJID MEMON},
title = {Finite Element Method for American Option Pricing: A Penalty Approach},
journal = {International Journal of Numerical Analysis Modeling Series B},
year = {2012},
volume = {3},
number = {3},
pages = {345--370},
abstract = {The model for pricing of American option gives rise to a parabolic variational inequality. We first use penalty function approach to reformulate it as an equality problem. Since the
problem is defined on an unbounded domain, we truncate it to a bounded domain and discuss
error due to truncation and penalization. Finite element method is then applied to the penalized
problem on the truncated domain. By coupling the penalty parameter and the discretization
parameters, error estimates are established when the initial data in H^1_0 . Finally, some numerical
experiments are conducted to confirm the theoretical findings.},
issn = {},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnamb/289.html}
}