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作者：Villeneuve, S; Zanette, A
作者单位：Universite Paris Saclay; University of Udine
摘要：we propose two numerical methods for pricing American options on two stocks based on the ADI algorithm of Peaceman and Rachford (1955). We prove the stability and convergence of these schemes and establish a comparative result.
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作者：Fishburn, PC; Pekec, A; Reeds, JA
作者单位：AT&T; Duke University
摘要：This paper investigates algebraic and combinatorial properties of the set of linear orders on the algebra of subsets of a finite set that are representable by positive measures. It is motivated by topics in decision theory and the theory of measurement, where an understanding of such properties can facilitate the design of strategies to elicit comparisons between subsets that, for example, determine an individual's preference order over subsets of objects or an individual's qualitative probabi...
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作者：De Farias, IR; Johnson, EL; Nemhauser, GL
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We present a polyhedral study of the complementarity knapsack problem. Traditionally, complementarity constraints are modeled by introducing auxiliary binary variables and additional constraints, and the model is Lightened by introducing strong inequalities valid for the resulting MIP. We use an alternative approach, in which we keep in the model only the continuous variables, and we tighten the model by introducing inequalities that define facets of the convex hull of the set of feasible solu...
