A penalty method for a fractional order parabolic variational inequality governing American put option valuation

DOI10.1016/j.camwa.2013.10.007zbMath1386.91160OpenAlexW2058585891WikidataQ59416161 ScholiaQ59416161MaRDI QIDQ316424

Wen Chen, Songgui Wang

Publication date: 27 September 2016

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2013.10.007

zbMATH Keywords

variational inequalityAmerican option pricingfinite differencepenalty methodcomplementarity problemfractional Black-Scholes operator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

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