Search Results - subject:"Linear complementarity"

On equivalent reformulations for absolute value equations

Prokopyev, Oleg - In: Computational Optimization and Applications 44 (2009) 3, pp. 363-372

Persistent link: https://www.econbiz.de/10008502553

Differential Interest Rates on Unbalanced Growth Paths

Diedrich, Martin - Centre for Economic Research, School of Economics and … - 2000

The paper studies an unbalanced multisectoral growth path in which cost-minimizing producers are subjected to a system of differential interest rates. We ask whether such differentials in capital charges are compatible with the existence of competitive equilibrium. In Part I, we study the...

Persistent link: https://www.econbiz.de/10005416672

Land Rents and Competitive Equilibrium

Diedrich, Martin - Centre for Economic Research, School of Economics and … - 2000

We study the technological pre-conditions for competitive equilibrium in a multisectoral economy where land is an essential imput. Earlier results by Bidard and Salvadori require either very low interest rates or are unable to predict the type of final demand vectors that can be supported by an...

Persistent link: https://www.econbiz.de/10005636046

An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options

Muroi, Yoshifumi; Yamada, Takashi - In: Asia-Pacific Financial Markets 15 (2008) 3, pp. 229-253

Persistent link: https://www.econbiz.de/10005727094

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

IKONEN, SAMULI; TOIVANEN, JARI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 331-361

can be computed by solving a linear complementarity problem. The idea of operator splitting methods is to divide each time … linear complementarity problem. The basic componentwise splitting decomposes the discretized problem into three linear … complementarity problems with tridiagonal matrices. These problems can be efficiently solved using the Brennan and Schwartz algorithm …

Persistent link: https://www.econbiz.de/10004971758

Superlinear convergence of an algorithm for monotone linear complementarity problems, when no strictly complementary solution exists

Sturm, J.F. - Erasmus University Rotterdam, Econometric Institute - 1996

A new predictor--corrector interior point algorithm for solving monotone linear complementarity problems (LCP) is …

Persistent link: https://www.econbiz.de/10008584753

Basis- and tripartition identification for quadratic programming and lineair complementary problems; From an interior solution to an optimal basis and viceversa

Berkelaar, A.B.; Jansen, B.; Roos, K.; Terlaky, T. - Erasmus University Rotterdam, Econometric Institute - 1996

Optimal solutions of interior point algorithms for linear and quadratic programming and linear complementarity problems … quadratic programming and linear complementarity problems with sufficient matrices. The presented algorithms are based on the …

Persistent link: https://www.econbiz.de/10008584830

Risk-Averse Traffic Assignment with Elastic Demands: NCP Formulation and Solution Method for Assessing Performance Reliability

Szeto, W.; O'Brien, L.; O'Mahony, M. - In: Networks and Spatial Economics 6 (2006) 3, pp. 313-332

How reliable the transport network is greatly affects the mobility and economy of a country. To assess the reliability of the network accurately and design a reliable transport network properly, one should consider the risk taking and elastic behaviour of travel demand. This paper develops a...

Persistent link: https://www.econbiz.de/10005698795

Pricing problems of perpetual Bermudan options

Muroi, Yoshifumi; Yamada, Takashi - Society for Computational Economics - SCE - 2006

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...

Persistent link: https://www.econbiz.de/10005342951

<Emphasis FontCategory="NonProportional">L-Matrices and solvability of linear complementarity problems by a linear program-Matrices and solvability of linear complementarity proble...

Yang, Fengmei; Wang, Shouyang; Yu, Mei; Coladas, Luis - In: TOP: An Official Journal of the Spanish Society of … 11 (2003) 1, pp. 95-107

Persistent link: https://www.econbiz.de/10005371412