A penalty method for a fractional order parabolic variational inequality governing American put option valuation. - Wen Chen 014; Song Wang 004 (Comput. Math. Appl., 2014)

A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation. - Wen Chen 014; Song Wang 004 (NAA, 2016)

A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. - Wen Chen 014; Song Wang 004 (Appl. Math. Comput., 2017)

A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. - Wen Chen 014; Song Wang 004 (Math. Comput. Simul., 2020)