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

2014 ◽  
Vol 67 (1) ◽  
pp. 77-90 ◽  
Author(s):  
Wen Chen ◽  
Song Wang
Keyword(s):  
Variational Inequality ◽  
Fractional Order ◽  
Penalty Method ◽  
Option Valuation ◽  
Parabolic Variational Inequality ◽  
American Put Option ◽  
Put Option ◽  
American Put

The American put option in a one-dimensional diffusion model with level-dependent volatility

Stochastics ◽  
2007 ◽  
Vol 79 (1-2) ◽  
pp. 5-25 ◽  
Author(s):  
P. Babilua ◽  
I. Bokuchava ◽  
B. Dochviri ◽  
M. Shashiashvili
Keyword(s):  
Diffusion Model ◽  
One Dimensional ◽  
American Put Option ◽  
Put Option ◽  
Dimensional Diffusion ◽  
American Put
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