摘要
考虑美式回望看跌期权的有限元方法.在把原问题转化成等价的变分不等式的基础上,研究了半离散格式在L2和L∞范数意义下的最优误差估计.此外,为了进一步提高逼近解的精度,借助超收敛分析技术和插值后处理方法,研究了H1范数意义下的整体超收敛以及后验误差估计.
We are concerned with finite element methods for pricing American lookback put options. On the basis of converting the problem into the equivalent variational inequality, the semidiscrete scheme is presented, and the L^2- and L^∞- error estimates are established, respectively. In addition, to enhance further the approximation solutions, by means of a superapproximation analysis technique and an interpolation postprocessing method, we study global superconvergence estimates in H^1- norm for linear finite elements. As by-products, the global supereonvergence results can be used to generate a posteriori error estimators.
出处
《应用泛函分析学报》
CSCD
2009年第1期20-32,共13页
Acta Analysis Functionalis Applicata
基金
supported in part by the Special Funds for Major State Basic Research Project (2007CB814906)
the National Natural Science Foundation of China (10471019,10471103, and10771158)
Social Science Foundation of the Ministry of Education of China (numerical methods for convertiblebonds,06JA630047)
Tianjin Natural Science Foundation (07JCYBJC14300)
the State Key Laboratory ofScientific and Engineering Computing,and Tianjin University of Finance and Economics
关键词
美式回望期权
变分不等式
有限元方法
最优和超收敛估计
插值后处理
后验误差估计子
american lookback options
variational inequality
finite element methods
optimal andsuperconvergent estimates
interpolation postprocessing
a posteriori error estimators
