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A Posteriori Error Estimates in H1 (W) Spaces for Parabolic Quasi-Variational Inequalities with Linear Source Terms Related to American Options Problem |
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PP: 1097-1110 |
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doi:10.18576/amis/100328
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Author(s) |
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Salah Boulaaras,
Ali Allahem,
Mohamed Haiour,
Khaled Zennir,
Sewalem Ghanem,
Bahri Cherif,
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Abstract |
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| In this paper, a posteriori error estimates for parabolic quasi-variational inequalities with linear source terms related to a
black scholes model with constant coefficients using two different approaches are established using a theta time scheme combined with
a finite element spatial approximation and the results of some numerical experiments are presented to support the theory. |
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