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Adaptive Methods For Variational Inequalities (Paperback)
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Adaptive Methods For Variational Inequalities (Paperback)
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Variational inequalities (VIs) arise from a wide range of
application areas, like mechanics, control theory, engineering, and
finance. One of the emerging applications of variational
inequalities in finance is valuation of American-style options. An
option is a derivative contract where the future payoffs to the
buyer and seller of the contract are determined by the price of
another security, such as a common stock or a basket of stocks.
American option pricing can be formulated as an obstacle problem, a
particular example of VIs. To solve time dependent variational
inequalities numerically, we employ the explicit or implicit Euler
method for time-discretization and the finite element method (FEM)
for space-discretization with adaptive time-space mesh refinement
techniques. Adaptive mesh refinement is an important tool to deal
with multiscale phenomena and to reduce the size of the linear
systems that arise from the discretization.
General
Imprint: |
Lap Lambert Academic Publishing
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Country of origin: |
Germany |
Release date: |
July 2010 |
First published: |
July 2010 |
Authors: |
Chen-Song Zhang
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Dimensions: |
229 x 152 x 12mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
204 |
ISBN-13: |
978-3-8383-8457-3 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
General
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LSN: |
3-8383-8457-1 |
Barcode: |
9783838384573 |
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