A penalty method for a fractional order parabolic variational inequality governing American put option valuation

Author:

Chen Wen,Wang Song

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference28 articles.

1. The pricing of options and corporate liabilities;Black;The Journal of Political Economy,1973

2. Option pricing when underlying stock returns are discontinuous;Merton;Journal on Financial Economics,1976

3. A jump-diffusion model for option pricing;Kou;Management Science,2002

4. Fractional diffusion models of option prices in markets with jumps;Cartea;Physica A. Statistical Mechanics and its Applications,2007

5. Non-Gaussian Merton–Black–Scholes Theory;Boyarchenko,2002

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