๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

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

โœ Scribed by S. Wang; X. Q. Yang; K. L. Teo

Publisher
Springer
Year
2006
Tongue
English
Weight
704 KB
Volume
129
Category
Article
ISSN
0022-3239

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

A power penalty method for solving a non
A power penalty method for solving a nonlinear parabolic complementarity problem
โœ Song Wang; C.-S. Huang ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 760 KB

In this paper we present a penalty method for solving a complementarity problem involving a second-order nonlinear parabolic differential operator. In this work we first rewrite the complementarity problem as a nonlinear variational inequality. Then, we define a nonlinear parabolic partial different