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

Wen ChenSong Wang
Published in: Appl. Math. Comput. (2017)
Keyphrases
  • linear complementarity problem
  • sufficient conditions
  • objective function
  • dynamic programming
  • computational complexity
  • option pricing
  • machine learning
  • multi agent systems
  • linear programming
  • sensitivity analysis