A Posteriori Error Estimates in H1 (W) Spaces for Parabolic Quasi-Variational Inequalities with Linear Source Terms Related to American Options Problem

Authors

Salah Boulaaras, Department of Mathematics, College of Sciences and Arts, Al-Rass, Qassim University, Kingdom of Saudi Arabia.\\ Laboratory of Fundamental and Applied Mathematics of Oran (LMFAO), University of Oran 1, Ahmed Benbella. Algeria.Follow
Ali Allahem, Department of Mathematics, College of Sciences and Arts, Al-Rass, Qassim University, Kingdom of Saudi Arabia.Follow
Mohamed Haiour, LANOS Department Of Mathematics, College Of Sciences, Annaba University, Algeria.Follow
Khaled Zennir, Department of Mathematics, College of Sciences and Arts, Al-Rass, Qassim University, Kingdom of Saudi Arabia.Follow
Sewalem Ghanem, Department of Mathematics, College of Sciences and Arts, Al-Rass, Qassim University, Kingdom of Saudi Arabia.Follow
Bahri Cherif, Department of Mathematics, College of Sciences and Arts, Al-Rass, Qassim University, Kingdom of Saudi Arabia.Follow

Author Country (or Countries)

Algeria.

Abstract

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.

Digital Object Identifier (DOI)

http://dx.doi.org/10.18576/amis/100328

Recommended Citation

Boulaaras, Salah; Allahem, Ali; Haiour, Mohamed; Zennir, Khaled; Ghanem, Sewalem; and Cherif, Bahri (2016) "A Posteriori Error Estimates in H1 (W) Spaces for Parabolic Quasi-Variational Inequalities with Linear Source Terms Related to American Options Problem," Applied Mathematics & Information Sciences: Vol. 10: Iss. 3, Article 28.
DOI: http://dx.doi.org/10.18576/amis/100328
Available at: https://digitalcommons.aaru.edu.jo/amis/vol10/iss3/28