In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...

In this paper, we present a new reformulation of the KKT system associated to a variational inequality as a semismooth equation. The reformulation is derived from the concept of differentiable exact penalties for nonlinear programming. The best results are presented for nonlinear complementarity problems, where simple, verifiable, conditions ensure that the penalty is exact. We also develop a s...

Four heuristic algorithms based on or inspired by the wellknown Tabu Search method have been used to cast heuristically optimized schedules for a clinical training unit of a hospital. It has been found experimentally that the algorithm of choice for this problem depends on the exact goal being sought where the execution time is one of the components of the goal. If only one run is allowed, then...

In this paper, properties of projection and penalty methods are studied in connection with control problems and their discretizations. In particular, the convergence of an interior-exterior penalty method applied to simple state constraints as well as the contraction behavior of projection mappings are analyzed. In this study, the focus is on the application of these methods to discretized cont...

We introduce an algorithm for solving nonlinear optimization problems with general equality and box constraints. The proposed algorithm is based on smoothing of the exact l1−penalty function and solving the resulting problem by any box-constraint optimization method. We introduce a general algorithm and present theoretical results for updating the penalty and smoothing parameter. We apply the a...