The eigenvalue complementarity problem (EiCP) represents a class of mathematical challenges where the determination of eigenvalues and corresponding eigenvectors is constrained by complementarity ...
The variational inequality formulation provides a mechanism for determining both the option value and the early exercise curve implicitly (Jaillet, Lamberton and Lapeyre, 1990). Standard ...
The finite-difference value function of an American put option can be computed by solving a sequence of linear complementarity problems (LCPs). The stateof- the-art methods that solve these equations ...
Interior-point methods constitute a robust class of algorithms for solving constrained optimisation problems by exploring the interior of the feasible region instead of traversing its boundary. These ...
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