In the linear response eigenvalue problem arising from quantum chemistry and physics, one needs to compute several positive eigenvalues together with the corresponding eigenvectors. For such a task, in this paper, we present a FEAST algorithm based on complex contour integration for the linear response eigenvalue problem. By simply dividing the spectrum into a collection of disjoint regions, the algorithm is able to parallelize the process of solving the linear response eigenvalue problem. The associated convergence results are established to reveal the accuracy of the approximated eigenspace. Numerical examples are presented to demonstrate the effectiveness of our proposed algorithm. From (2), we have Kx = λy and My = λx, and they together lead to: