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

2017 ◽  
Vol 305 ◽  
pp. 174-187 ◽  
Author(s):  
Wen Chen ◽  
Song Wang
Keyword(s):  
Option Pricing ◽  
Linear Complementarity Problem ◽  
Complementarity Problem ◽  
Penalty Method ◽  
Linear Complementarity ◽  
American Option ◽  
American Option Pricing ◽  
Power Penalty ◽  
Partial Differential ◽  
Power Penalty Method
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