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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
	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
	Switching to nonaffine stochastic volatility: A closed-form expansion for the inverse gamma model 期刊论文 International Journal of Theoretical and Applied Finance,2016, 卷号: 19, 期号: 5 作者: Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili 收藏 \| 浏览/下载：9/0 \| 提交时间：2022/08/29 dynamic SABR inverse gamma log-normal mean-reverting SABR option pricing Stochastic volatility volatility expansion
	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：10/0 \| 提交时间：2025/03/19 American option pricing Complementarity problem Finite difference Fractional Black-Scholes operator Penalty method Variational inequality
	Option prices under stochastic volatility 期刊论文 Applied Mathematics Letters,2013, 卷号: 26, 期号: 1, 页码: 1-4 作者: Han, Jiguang; Gao, Ming; Zhang, Qiang; Li, Yutian 收藏 \| 浏览/下载：12/0 \| 提交时间：2021/05/13 Heston model Option pricing Stochastic volatility
	Option pricing in incomplete markets 期刊论文 Applied Mathematics Letters,2013, 卷号: 26, 期号: 10, 页码: 975-978 作者: Zhang, Qiang; Han, Jiguang 收藏 \| 浏览/下载：8/0 \| 提交时间：2021/05/13 Exponential utility function Heston model Incomplete markets Option pricing Stochastic volatility