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Wen Chen 0014

Monica Chen

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affiliation (since 2014): CSIRO Riverside Life Sciences Centre, North Ryde, NSW, Australia
affiliation (until 2013): The University of Western Australia, Perth, WA, Australia

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Journal Articles

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2020
[j3]
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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: 279-293 (2020)
2017
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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: 174-187 (2017)
2014
[j1]
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Wen Chen, Song Wang:
A penalty method for a fractional order parabolic variational inequality governing American put option valuation. Comput. Math. Appl. 67(1): 77-90 (2014)

Conference and Workshop Papers

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2016
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Wen Chen, Song Wang:
A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation. NAA 2016: 46-57

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