A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing

A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing

© 2017 Elsevier Inc.In this paper we propose a power penalty method for a linear complementarity problem (LCP) involving a fractional partial differential operator in two spatial dimensions arising in pricing American options on two underlying assets whose prices follow two independent geometric Lév...

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Bibliographic Details
Main Authors: Chen, W., Wang, Song
Format: Journal Article
Published: Elsevier Inc. 2017
Online Access:http://hdl.handle.net/20.500.11937/52000

Internet

http://hdl.handle.net/20.500.11937/52000

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