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A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing
期刊论文
Mathematics and Computers in Simulation,2020, 卷号: 171, 页码: 279-293
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2025/03/19
Alternating direction implicit method
Finite difference
Option pricing
Two-dimensional spatial-fractional Black–Scholes equation
Prophage Hunter: an integrative hunting tool for active prophages
期刊论文
Nucleic Acids Research,2019, 卷号: 47, 期号: W1, 页码: W74-W80
作者:
Song, Wenchen
;
Sun, Hai Xi
;
Zhang, Carolyn
;
Cheng, Li
;
Peng, Ye
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2025/07/18
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
期刊论文
Applied Mathematics and Computation,2017, 卷号: 305, 页码: 174-187
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2025/03/19
American option pricing
Finite difference method
Fractional differential equation
Linear complementarity problem
Optimal control
Penalty method
A 2nd-order FDM for a 2D fractional black-scholes equation
会议论文
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), Lozenetz, BULGARIA, JUN 15-22, 2016
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2025/03/19
A finite difference method for pricing European and American options under a geometric Lévy process
期刊论文
Journal of Industrial and Management Optimization,2015, 卷号: 11, 期号: 1, 页码: 241-264
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2025/03/19
Convergence
Finite difference method
Fractional Black-Scholes equation
Linear complementarity problem
Option pricing
Penalty method
A penalty method for a fractional order parabolic variational inequality governing American put option valuation
期刊论文
Computers and Mathematics with Applications,2014, 卷号: 67, 期号: 1, 页码: 77-90
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2025/03/19
American option pricing
Complementarity problem
Finite difference
Fractional Black-Scholes operator
Penalty method
Variational inequality