Black-Scholes Variational Inequalities (Paperback) (ISBN-13: 9783836493284)

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.

Author: Karin Mautner
ISBN-10: 3836493284
ISBN-13: 9783836493284
Publisher: VDM Verlag Dr. Mueller E.K.
Language: English
Published: 07/08/2008
Pages: 132
Format: Paperback
Weight: 0.41lbs
Size: 9.00h x 6.00w x 0.28d