Funder
National Natural Science Foundation of China
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science
Reference19 articles.
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2. A novel compact ADI scheme for the time fractional subdiffusion equation in two space dimensions;Chen;Int. J. Comput. Math.,2014
3. A penalty method for a fractional order parabolic variational inequality governing American put option valuation;Chen;Comput. Math. Appl.,2014
4. A finite difference method for pricing European and American options under a geometric Lévy process;Chen;J. Ind. Manag. Optim.,2015
5. A 2nd-order FDM for a 2d fractional black-scholes equation;Chen,2016
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