European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
Proceedings, 2020 Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is ...
Beatriz Salvador +2 more
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On unique solvability of the piecewise linear equation system
Journal of Numerical Analysis and Approximation Theory, 2022 In this article, we take the piecewise linear equation system \(x-W|x|=b\), which is also known by absolute value equation, where \(W\in {\mathbb R}^ {n\times n}\), \(b\in {\mathbb R}^{n}\) are given and to undetermined the value of \(x\in {\mathbb R ...
Shubham Kumar, Deepmala
doaj
A linear complementarity problem formulation for periodic solutions to unilateral contact problems
, 2014 Presented is an approach for finding periodic responses of structural systems subject to unilateral contact conditions. No other non-linear terms, e.g. large displacements or strains, hyper-elasticity, plasticity, etc. are considered.
Markus Meingast, M. Legrand, C. Pierre
semanticscholar +1 more source
A Quadratically Convergent Interior-Point Algorithm for the P*(κ)-Matrix Horizontal Linear Complementarity Problem [PDF]
Journal of Sciences, Islamic Republic of Iran, 2012 In this paper, we present a new path-following interior-point algorithm for -horizontal linear complementarity problems (HLCPs). The algorithm uses only full-Newton steps which has the advantage that no line searchs are needed.
H. Mansouri
doaj
A new Approach for the Modulus-Based Matrix Splitting Algorithms
IEEE Access, 2019 We investigate the modulus-based matrix splitting iteration algorithms for solving the linear complementarity problems (LCPs) and propose a new model to solve it.
Wenpeng Wang +3 more
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On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems [PDF]
By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations.
Birbil, S.I. +3 more
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Tolling, Capacity Selection and Equilibrium Problems with Equilibrium Constraints [PDF]
, 2008 An Equilibrium problem with an equilibrium constraint is a mathematical construct that can be applied to private competition in highway networks. In this paper we consider the problem of finding a Nash Equilibrium regarding competition in toll pricing on
Koh, Andrew, Shepherd, Simon
core
Exact Penalty Functions for Mathematical Programs with Linear Complementarity Constraints [PDF]
, 1996 We establish a new general exact penalty function result for a constrained optimization problem and apply this result to a mathematical program with linear complementarity ...
Mangasarian, O.L., Pang, J.S.
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Numerical Solutions Of American Options With Dividends Using Finite Difference Methods [PDF]
, 2015 We study the Black-Scholes model for American options with dividends. We cast the problem as a free-boundary problem for heat equations and use transformations to rewrite the problem in linear complementarity form.
Mavinga, Nsoki, Zhang, Chi, , \u2715
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Reducing horizontal linear complementarity problems
Linear Algebra and its Applications, 1995 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tütüncü, Reha H., Todd, Michael J.
openaire +2 more sources