Search results for "Complementarity problem"
showing 5 items of 15 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…
Efficient numerical methods for pricing American options under stochastic volatility
2007
Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved u…
Active macro-zone approach for incremental elastoplastic-contact analysis
2013
SUMMARY The symmetric boundary element method, based on the Galerkin hypotheses, has found an application in the nonlinear analysis of plasticity and in contact-detachment problems, but both dealt with separately. In this paper, we want to treat these complex phenomena together as a linear complementarity problem. A mixed variable multidomain approach is utilized in which the substructures are distinguished into macroelements, where elastic behavior is assumed, and bem-elements, where it is possible that plastic strains may occur. Elasticity equations are written for all the substructures, and regularity conditions in weighted (weak) form on the boundary sides and in the nodes (strong) betw…
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.
Iterative Methods for Pricing American Options under the Bates Model
2013
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…