Convergence of the Approximation scheme to American option pricing via the discrete Morse semiflow

Details Convergence of the Approximation scheme to American option pricing via the discrete Morse semiflow Convergence of the Approximation scheme to American option pricing via the discrete Morse semiflow

2009-10-29

arxiv.org/abs/0910.5594v1

Mathematics

Analysis of PDEs

45 pages

Scientific paper

We consider the approximation scheme of the American call option via the
discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized
variational functional. In this paper we obtain a rate of convergence of
approximate solutions. In addition, the convergence of approximate free
boundaries is proved.

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