Among the central concerns in mathematical finance is the evaluation of American options. An American option gives the holder the right but not the obligation to buy or sell a certain financial asset within a certain time-frame, for a certain strike price. The valuation of American options is formulated as an optimal stopping problem. If the stock price is modelled by a geometric Brownian motio...

We provide an index formula for solutions of variational inequality problems defined by a continuously differentiable function F over a convex set M represented by a finite number of inequality constraints. Our index formula can be applied when the solutions are non-singular and possibly degenerate, as long as they also satisfy the injective normal map (INM) property, which is implied by strong...

In this paper we present a penalty method for solving a complementarity problem involving 2nd-order nonlinear parabolic differential operators. In this work we first rewrite the complementarity problem as a nonlinear variational inequality. Then, we define a nonlinear parabolic partial differential equation (PDE) approximating the variational inequality using a power penalty term with a penalty...

Extending the characterization of the directional derivatives of a strongly regular solution to a variational inequality under parameter perturbations, this paper derives a first-order sensitivity result for a monotone-plus affine variational inequality (AVI) having non-isolated solutions. The result employs a “directional AVI” whose solutions provide the directional derivatives, if they exist,...

In this paper, we introduce a new iterative sequence which is constructed by using the hybrid projection method for solving the common solution for a system of generalized equilibrium problems of inverse strongly monotone mappings and a system of bifunctions satisfying certain the conditions, the common solution for the families of quasi -φasymptotically nonexpansive and uniformly Lipschitz con...

A two levels finite element iterative method based on a pressure projection is proposed and analyzed for the transient Navier–Stokes problems. Using the P1–P1 triangular element , we solve a small Navier–Stokes type variational inequality problem on a coarse mesh and solve a large Stokes type variational inequality problem for simple iteration or a large Oseen type variational inequality proble...

In this paper, we present a power penalty function approach to the linear complementarity problem arising from pricing American options. The problem is first reformulated as a variational inequality problem; the resulting variational inequality problem is then transformed into a nonlinear parabolic partial differential equation (PDE) by adding a power penalty term. It is shown that the solution...

For a variational inequality problem (VIP) with a psudomonotone mapping F on its solution set C∗, we give equivalent statements for C∗ to be determined by the zeroes Γ(c∗) of the primal gap function of VIP, where c∗ ∈ C∗. One sufficient condition is also presented in terms of weaker sharpness of C∗. With the psudomonotonicity∗ of F onC∗ being characterized, C∗ turns out to coincide with the zer...

Generalized Nash games represent an extension of Nash games in which strategy sets are coupled across players. The equilibrium conditions of such a game can be compactly stated as a quasivariational inequality (QVI), an extension of the variational inequality (VI). Harker [9] showed that under certain conditions on the maps defining the QVI, a solution to a related VI solves the QVI. This is a ...

The quasi-static evolution of an elastoplastic body with a multi-surface constitutive law of linear kinematic hardening type allows the modeling of curved stress-strain relations. It generalises classical small-strain elastoplasticity from one to various plastic phases. Firstly, we briefly recall a mathematical model represented by an initial-boundary value problem in the form a variational ine...