Wen Chen
Orcid: 0000-0002-7268-0979Affiliations:
- CSIRO Riverside Life Sciences Centre, North Ryde, NSW, Australia (since 2014)
- The University of Western Australia, Perth, WA, Australia (until 2013)
According to our database1,
Wen Chen
authored at least 4 papers
between 2014 and 2020.
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Bibliography
2020
A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing.
Math. Comput. Simul., 2020
2017
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing.
Appl. Math. Comput., 2017
2016
Proceedings of the Numerical Analysis and Its Applications - 6th International Conference, 2016
2014
A penalty method for a fractional order parabolic variational inequality governing American put option valuation.
Comput. Math. Appl., 2014