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.

we present a modified version of the infeasible-interior- we present a modified version of the infeasible-interior-point algorithm for monotone linear complementary problems introduced by mansouri et al. (nonlinear anal. real world appl. 12(2011) 545--561). each main step of the algorithm consists of a feasibility step and several centering steps. we use a different feasibility step, which targ...

A new necessary and sufficient condition for the row W-property is given. By using this new condition and a special row rearrangement, we provide two global error bounds for the extended vertical linear complementarity problem under the row W-property, which extend the error bounds given in [2, 10] for the P-matrix linear complementarity problem, respectively. We show that one of the new error ...

For the extended linear complementarity problem 11], we introduce and characterize column-suuciency, row-suuciency, and P-properties. These properties are then specialized to the vertical , horizontal, and mixed linear complementarity problems.

The strict feasibility plays an important role in the development of theory and algorithms of complementarity problems. In this paper, we establish su cient conditions to ensure the strict feasibility of a nonlinear complementarity problem. Our analysis method, based on a newly introduced concept of -exceptional sequence, can be viewed as a uni ed approach for proving the existence of a strictl...

The symmetric cone complementarity problem (denoted by SCCP) is a class of equilibrium optimization problems, and it contains the standard linear/nonlinear complementarity problem (LCP/NCP), the second-order cone complementarity problem (SOCCP) and the semidefinite complementarity problem (SDCP) as special cases. In this paper, we present a regularized smoothing Newton algorithm for SCCP by mak...

Apart from the massive parallelism of DNA strands, the phenomenon known as Watson-Crick complementarity is basic both in the experiments and theory of DNA computing. The parallelism makes exhaustive searches possible, whereas the complementarity is a powerful computational tool. This paper investigates complementarity as a language-theoretic operation: \bad" words obtained through a generative ...

In certain topological effects the accumulation of a quantum phase shift is accompanied by a local observable effect. We show that such effects manifest a complementarity between nonlocal and local attributes of the topology, which is reminiscent but different from the usual wave-particle complementarity. This complementarity is not a consequence of noncommutativity, rather it is due to the non...

We report and analyze the results of our computational testing of branchand-cut for the complementarity-constrained optimization problem (CCOP). Besides the MIP cuts commonly present in commercial optimization software, we used inequalities that explore complementarity constraints. To do so, we generalized two families of cuts proposed earlier by de Farias, Johnson, and Nemhauser that had never...

Complementarity systems consist of ordinary differential equations coupled to complementarity conditions. They form a class of nonsmooth dynamical systems that is of use in mechanical and electrical engineering as well as in optimization and in other fields. The paper illustrates how complementarity systems arise in mathematical programming by means of a number of examples of various nature. Th...