【摘 要】
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In this paper we are conceed with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associat
【机 构】
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Department of Mathematics, School of Information Science and Engineering,Northeastern University, Sh
论文部分内容阅读
In this paper we are conceed with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an implicit difference scheme is constructed and analyzed. We show that there exists a unique difference solution which is unconditionally stable. Using the notion of viscosity solutions, we also prove that the finite difference solution converges uniformly to the viscosity solution of the continuous problem. Furthermore, by means of the variational inequality analysis method, the (O)(△t+△x2)-order error estimate is derived in the discrete L2-norm provided that the continuous problem is sufficiently regular. In addition, a numerical example is provided to illustrate the theoretical results.Mathematics subject classification: 65M12, 65M06, 91B28.
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