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Optimization Methods and Software Volume 25, 2010 - Issue 5: The 2nd International Conference on Nonlinear Programming with Applications
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The 2nd International Conference on Nonlinear Programming with Applications

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

Guanghui Wang State Key Laboratory of Severe Weather (LaSW), Chinese Academy of Meteorological Sciences, Beijing, 100081, P.R. China
&
Song Wang School of Mathematics and Statistics, The University of Western Australia, 35 Stirling Highway, Crawley, WA, 6009, AustraliaCorrespondence[email protected]
Pages 699-723 | Received 27 May 2008, Accepted 19 May 2009, Published online: 13 Aug 2009

References

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