Error Estimates for Lagrange-Galerkin Approximation of American Options Valuation.

Rafail Z. Dautov Alexander Lapin Shuhua Zhang

Published in: SIAM J. Numer. Anal. (2020)

Keyphrases

error estimates
error estimation
cross validation
provably correct
model selection
error analysis
united states
b spline
partial differential equations
differential equations
lagrange interpolation
expert systems
life cycle
real option
option pricing
dual decomposition