Wen Chen

Publication Activity (10 Years)

Years Active: 2014-2020
Publications (10 Years): 3

Top Topics

Black Scholes Model

Linear Complementarity Problem

Capital Budgeting

Top Venues

Math. Comput. Simul.

Comput. Math. Appl.

Appl. Math. Comput.

Publications

Wen Chen, Song Wang
A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. Math. Comput. Simul. 171 (2020)
Wen Chen, Song Wang
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. Appl. Math. Comput. 305 (2017)
Wen Chen, S. Wang
A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation. NAA (2016)
Wen Chen, Song Wang
A penalty method for a fractional order parabolic variational inequality governing American put option valuation. Comput. Math. Appl. 67 (1) (2014)