Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4639734 | Journal of Computational and Applied Mathematics | 2011 | 14 Pages |
Abstract
We consider the approximation of the optimal stopping problem associated with ultradiffusion processes in the context of mathematical finance and the valuation of Asian options. In particular, the value function is characterized as the solution of an ultraparabolic variational inequality. Employing the penalty method and a regularization of the state space, we develop higher-order adaptive approximation schemes which utilize the extrapolation discontinuous Galerkin method in temporal space. Numerical examples are provided in order to demonstrate the approach.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Michael D. Marcozzi,