Minkowski matrices.

DOI10.1145/357456.2181MaRDI QIDQ3668333zbMATH OpenOpenAlexFDO

Authors

Publication date 1983

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/357456.2181

zbMATH Keywords

alternating direction implicit methodefficient algorithmfree boundary problemslinear complementarity problemMinkowski matrixtridiagonal Minkowski matricesvariational inequalities

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical optimization and variational techniques (65K10) Numerical methods for partial differential equations, boundary value problems (65N99) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cited in

(16)

• Conjugate gradient method for the linear complementarity problem withs-matrix
• An alternating direction implicit algorithm for the solution of linear complementarity problems arising from free boundary problems
• Basic-set algorithm for a generalized linear complementarity problem
• Gaussian pivoting method for solving linear complementarity problem
• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
• An inexact alternating direction method of multipliers for the solution of linear complementarity problems arising from free boundary problems
• Tridiagonal matrices with dominant diagonals and applications
• A `moving index' method for the solution of the American options valuation problem
• Improving projected successive overrelaxation method for linear complementarity problems
• A penalty method for American options with jump diffusion processes
• A polynomial-time algorithm for the tridiagonal and Hessenberg P-matrix linear complementarity problem
• Direct algorithm for the solution of two-sided obstacle problems with M-matrix.
• A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• On American Options Under the Variance Gamma Process
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations

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