Search results for "Complementarity theory"
showing 4 items of 4 documents
A thermodynamically consistent nonlocal formulation for damaging materials
2002
A thermodynamically consistent nonlocal formulation for damaging materials is presented. The second principle of thermodynamics is enforced in a nonlocal form over the volume where the dissipative mechanism takes place. The nonlocal forces thermodynamically conjugated are obtained consistently from the free energy. The paper indeed extends to elastic damaging materials a formulation originally proposed by Polizzotto et al. for nonlocal plasticity. Constitutive and computational aspects of the model are discussed. The damage consistency conditions turn out to be formulated as an integral complementarity problem and, consequently, after discretization, as a linear complementarity problem. A n…
Operator splitting methods for American option pricing
2004
Abstract We propose operator splitting methods for solving the linear complementarity problems arising from the pricing of American options. The space discretization of the underlying Black-Scholes Scholes equation is done using a central finite-difference scheme. The time discretization as well as the operator splittings are based on the Crank-Nicolson method and the two-step backward differentiation formula. Numerical experiments show that the operator splitting methodology is much more efficient than the projected SOR, while the accuracy of both methods are similar.
An Iterative Approach to Dynamic Elastic-Plastic Analysis
1998
The step-by-step analysis of structures constituted by elastic-plastic finite elements, subjected to an assigned loading history, is here considered. The structure may possess dynamic and/or not dynamic degrees-of-freedom. As it is well-known, at each step of analysis the solution of a linear complementarity problem is required. An iterative method devoted to solving the relevant linear complementarity problem is presented. It is based on the recursive solution of a linear complementarity, problem in which the constraint matrix is block-diagonal and deduced from the matrix of the original linear complementarity problem. The convergence of the procedure is also proved. Some particular cases …
An iterative method for pricing American options under jump-diffusion models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou@?s and Merton@?s jump-diffusion models show that the resulting iteration converges rapidly.