A Variational Inequality Arising from European Installment Call Options Pricing.
Fahuai YiZhou YangXiaohua WangPublished in: SIAM J. Math. Anal. (2008)
Keyphrases
- variational inequalities
- option pricing
- black scholes model
- double exponential
- sensitivity analysis
- variational inequality problems
- hilbert spaces
- complementarity problems
- convex sets
- set valued
- primal dual
- fixed point
- nash equilibrium
- newton method
- traffic assignment
- feasible set
- linear complementarity problem
- boundary value problem
- boundary conditions
- network equilibrium model
- graphical models
- shape from shading