Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates

Fausto Gozzi and Simona Sanfelici

No 130, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: contingent claim pricing; finite element method; semigroup approach; energy method; degenerate parabolic equation; discontinuous data (search for similar items in EconPapers)
JEL-codes: C60 C63 G13 (search for similar items in EconPapers)
Date: 2002-07-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:130

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