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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Black-Scholes Variational Inequalities

Black-Scholes Variational Inequalities

Mautner, Karin

Paperback

General Mathematics

ISBN10: 3836493284
ISBN13: 9783836493284
Publisher: Vdm Verlag
Published: Jul 8 2008
Pages: 132
Weight: 0.41
Height: 0.28 Width: 6.00 Depth: 9.00
Language: English
The effective numerical treatment of Black-Scholes equations is among the key issues in mathematical finance. The most important strategy for pricing American options relies on deterministic evolutionary variational inequalities on unbounded domains. This book provides the requisite mathematical background for the numerical treatment in weighted Sobolev spaces. The main focus is on the numerical analysis including a priori and a posteriori error estimates for finite element methods, and the effective simulation based on the design of adaptive mesh refinement algorithms. Numerical experiments that illustrate the advantage of this approach conclude this book, which is intended for graduate students and researchers in the area of mathematical finance and numerical analysis.

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