A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434)
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scientific article; zbMATH DE number 7044174
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| English | A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing |
scientific article; zbMATH DE number 7044174 |
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A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (English)
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28 March 2019
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American option pricing
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optimal control
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linear complementarity problem
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fractional differential equation
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penalty method
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finite difference method
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0.8531297445297241
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0.8415781855583191
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0.8353278636932373
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