Convergence of the Approximation scheme to American option pricing via the discrete Morse semiflow
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🧮 math.AP
cs.NAmath.NA
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convergenceschemeamericanapproximateapproximationdiscretemorseoption
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We consider the approximation scheme of the American call option via the discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized variational functional. In this paper we obtain a rate of convergence of approximate solutions. In addition, the convergence of approximate free boundaries is proved.
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