A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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| Property / Mathematics Subject Classification ID: 65K10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 35R11 / rank | |||
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| Property / zbMATH DE Number: 6630001 / rank | |||
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| Property / zbMATH Keywords | |||
fractional Black-Scholes operator | |||
| Property / zbMATH Keywords: fractional Black-Scholes operator / rank | |||
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American option pricing | |||
| Property / zbMATH Keywords: American option pricing / rank | |||
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variational inequality | |||
| Property / zbMATH Keywords: variational inequality / rank | |||
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penalty method | |||
| Property / zbMATH Keywords: penalty method / rank | |||
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complementarity problem | |||
| Property / zbMATH Keywords: complementarity problem / rank | |||
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finite difference | |||
| Property / zbMATH Keywords: finite difference / rank | |||
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Revision as of 01:03, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A penalty method for a fractional order parabolic variational inequality governing American put option valuation |
scientific article |
Statements
A penalty method for a fractional order parabolic variational inequality governing American put option valuation (English)
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27 September 2016
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fractional Black-Scholes operator
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American option pricing
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variational inequality
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penalty method
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complementarity problem
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finite difference
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