Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

ISSN： 0022-3239

Source： Journal of Optimization Theory and Applications, Vol.129, Iss.2, 2006-05, pp. : 227-254

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Full Multigrid Method for Linear Complementarity Problems arising from Elastic Normal Contact Problems

Mathematical Modelling and Analysis, Vol. 19, Iss. 2, 2014-03 ,pp. : 216-240

Taylor & Francis Ltd

Access to resources Recommend Favorite

On the Parametric Linear Complementarity Problem

By Danao R.A.

Journal of Optimization Theory and Applications, Vol. 95, Iss. 2, 1997-11 ,pp. : 445-454

Springer Publishing Company

Access to resources Recommend Favorite

Applying a Power Penalty Method to Numerically Pricing American Bond Options

By Zhang K.

Journal of Optimization Theory and Applications, Vol. 154, Iss. 1, 2012-07 ,pp. : 278-291

Springer Publishing Company

Access to resources Recommend Favorite

Convergence of a Penalty Method for Mathematical Programming with Complementarity Constraints

By Hu X. M. Ralph D.

Journal of Optimization Theory and Applications, Vol. 123, Iss. 2, 2004-11 ,pp. : 365-390

Springer Publishing Company

Access to resources Recommend Favorite

A comparison of solvers for linear complementarity problems arising from large-scale masonry structures

By Ainsworth Mark

Applications of Mathematics, Vol. 51, Iss. 2, 2006-04 ,pp. : 93-128

Springer Publishing Company

Access to resources Recommend Favorite