A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
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Publication:1735434
DOI10.1016/j.amc.2017.01.069zbMath1411.91617OpenAlexW2591209566MaRDI QIDQ1735434
Publication date: 28 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.01.069
optimal controlfinite difference methodAmerican option pricinglinear complementarity problempenalty methodfractional differential equation
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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