A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing |
scientific article |
Statements
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (English)
0 references
28 March 2019
0 references
American option pricing
0 references
optimal control
0 references
linear complementarity problem
0 references
fractional differential equation
0 references
penalty method
0 references
finite difference method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
