in this paper we consider the european continuous installment call option. then  its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.

In this paper we define the Extended Linear Complementarity Problem (ELCP), an extension of the well-known Linear Complementarity Problem (LCP). We show that the ELCP can be viewed as a kind of unifying framework for the LCP and its various generalizations. We study the general solution set of an ELCP and we develop an algorithm to find all its solutions. We also show that the general ELCP is a...

In this paper we consider the European continuous installment call option. Then  its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.

This paper applies splitting techniques developed for set-valued maximal monotone operators to monotone aane variational inequalities, including as a special case the classical linear comple-mentarity problem. We give a uniied presentation of several splitting algorithms for monotone operators, and then apply these results to obtain two classes of algorithms for aane variational inequalities. T...

The Second-Order Cone Complementarity Problem (SOCCP) is a wide class of problems, which includes the Nonlinear Complementarity Problem (NCP) and the Second-Order Cone Programming Problem (SOCP). Recently, Fukushima, Luo and Tseng extended some merit functions and their smoothing functions for NCP to SOCCP. Moreover, they derived computable formulas for the Jacobians of the smoothing functions ...

The strict feasibility plays an important role in the development of theory and algorithms of complementarity problems. In this paper, we establish suucient conditions to ensure the strict feasibility of a nonlinear complemen-tarity problem. Our analytical method, based on a newly introduced concept of-antifeasible sequence, can be viewed as a uniied approach in proving the existence of a stric...

In this paper, we consider the numerical solution for the discretization of semilinear elliptic complementarity problems. A monotone algorithm is established based on the upper and lower solutions of the problem. It is proved that iterates, generated by the algorithm, are a pair of upper and lower solution iterates and converge monotonically from above and below, respectively, to the solution o...