J
Jong-Shi Pang
Researcher at University of Southern California
Publications - 273
Citations - 29022
Jong-Shi Pang is an academic researcher from University of Southern California. The author has contributed to research in topics: Complementarity theory & Mixed complementarity problem. The author has an hindex of 69, co-authored 266 publications receiving 26783 citations. Previous affiliations of Jong-Shi Pang include Texas A&M University & University of Texas at Dallas.
Papers
More filters
Posted Content
Pricing American Options With Transaction Costs By Complementarity Methods
Jong-Shi Pang,Jacqueline Huang +1 more
TL;DR: In this paper, complementarity based numerical methods for the pricing of American options in the presence of transaction costs are presented. But the inclusion of nonzero transaction costs in option pricing invalidates the Black-Scholes hedging strategy that relies on continuous rebalancing of the option portfolio.
Convergence of Time Discretization Schemes for Continuous-Time Dynamic Network Loading Models
TL;DR: This paper develops theoretical results to prove the consistency, stability and convergence of the implicit and explicit discretization schemes for solving the α point-queue model and conducts numerical experiments to show such results.
Journal ArticleDOI
Comparing solution paths of sparse quadratic minimization with a Stieltjes matrix
TL;DR: In this paper , several solution paths of sparse quadratic minimization problems are considered as a function of the weighing parameter of the bi-objective of estimation loss versus solution sparsity.
Journal ArticleDOI
Exact Penalization of Generalized Nash Equilibrium Problems
Qin Ba,Jong-Shi Pang +1 more
TL;DR: In this article, an exact penalization theory of the generalized Nash equilibrium problem (GNEP) is presented, which has its origin from the Arrow-Debreu general economic equilibrium model.
Journal ArticleDOI
A special spatial equilibrium problem
Jong-Shi Pang,Chang-Sung Yu +1 more
TL;DR: This paper shows how the problem is related to a shortest-path problem and develops a simple algorithm for its solution and discusses an extension of the single-commodity problem to a multicommodity problem.