Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation

G.H. Wang; Song Wang

doi:10.1080/10556780903049942

Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation

G.H. Wang
, Song Wang

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	699-723
Journal	OPTIMIZATION METHODS & SOFTWARE
Volume	25
DOIs	https://doi.org/10.1080/10556780903049942
Publication status	Published - 2010

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10.1080/10556780903049942

Cite this

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title = "Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation",

author = "G.H. Wang and Song Wang",

year = "2010",

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language = "English",

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pages = "699--723",

journal = "OPTIMIZATION METHODS \& SOFTWARE",

issn = "1055-6788",

publisher = "Taylor \& Francis",

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VL - 25

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JO - OPTIMIZATION METHODS & SOFTWARE

JF - OPTIMIZATION METHODS & SOFTWARE

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