A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424)
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scientific article; zbMATH DE number 6630001
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| English | A penalty method for a fractional order parabolic variational inequality governing American put option valuation |
scientific article; zbMATH DE number 6630001 |
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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0.8423073291778564
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0.8400033116340637
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0.8353278636932373
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0.8240735530853271
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