@Article{IJNAM-5-222,
author = {G. Wang and X. Yang},
title = {The Regularization Method for a Degenerate Parabolic Variational Inequality Arising from American Option Valuation},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2008},
volume = {5},
number = {2},
pages = {222--238},
abstract = {<p style="text-align: justify;">In this paper, we present a regularization method to a
degenerate variational inequality of parabolic type arising from
American option pricing. Main difficulty in actually analyzing this kind
of problem is caused by the presence of a non-smoothing initial value
function in the formulation of the problem. We first use a smoothing
technique with small parameter $\varepsilon &gt; 0$ to non-smoothing initial
value function; and then we derive the error estimates for regularized
continuous problem and regularized discrete problem, respectively.
Numerical tests are given to confirm our theoretical results.</p>},
issn = {2617-8710},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnam/808.html}
}