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...

The purpose of this paper is devoted to the least element problems of feasible sets for vector complementarity problems under certain conditions. We generalize the notion of a Z-map due to Riddell to the set-valued case. Some conditions of the feasible set being a sublattice are presented and...

The purpose of this paper is devoted to the least element problems of feasible sets for vector complementarity problems under certain conditions. We generalize the notion of a Z-map due to Riddell to the set-valued case. Some conditions of the feasible set being a sublattice are presented and...

In this paper we give algorithms for solving linear complementarity problems for P-matrices and symmetric positive semidefinite matrices. Our approach of the problem turns out to be an improvement and a more precise formulation of Baraff’s method for problems arising from collision response....

A new predictor--corrector interior point algorithm for solving monotone linear complementarity problems (LCP) is proposed, and it is shown to be superlinearly convergent with at least order 1.5, even if the LCP has no strictly complementary solution. Unlike Mizuno's recent algorithm (Mizuno,...