A generalized complementarity approach to solving real option problems

DOI10.1016/j.jedc.2007.04.010zbMath1181.91333OpenAlexW2090540854WikidataQ126232620 ScholiaQ126232620MaRDI QIDQ844678

Takeshi Nagae, Takashi Akamatsu

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.04.010

zbMATH Keywords

real optionsgeneralized complementarity problemsmoothing function-based algorithm

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Dynamical systems in optimization and economics (37N40) Corporate finance (dividends, real options, etc.) (91G50)

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