optionpricing.gms
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* LP written by GAMS Convert at 09/03/08 03:39:35
*
* Equation counts
* Total E G L N X C
* 8 4 1 3 0 0 0
*
* Variable counts
* x b i s1s s2s sc si
* Total cont binary integer sos1 sos2 scont sint
* 15 15 0 0 0 0 0 0
* FX 0 0 0 0 0 0 0 0
*
* Nonzero counts
* Total const NL DLL
* 29 29 0 0
*
* Solve m using LP minimizing objvar;
*
Variables x1,x2,x3,x4,x5,x6,x7,x8,x9,x10,x11,x12,x13,x14,objvar;
Positive Variables x1,x2,x3,x4,x5,x6,x7,x8,x9,x10,x11,x12,x13,x14;
Equations e1,e2,e3,e4,e5,e6,e7,e8;
e1.. - x1 + x4 - x7 + x8 =E= 0;
e2.. - x2 + x5 - x8 + x9 =E= 0;
e3.. - x3 + x6 - x9 + x10 =E= 0;
e4.. 385.243996850244*x10 + 132.312981233744*x14 =G= 285.243996850244;
e5.. 137.507645458687*x1 - 132.115188774032*x4 - 107.250818125422*x11
+ 107.250818125422*x12 =L= 0;
e6.. 195.132637353889*x2 - 187.480377065501*x5 - 115.027379885723*x12
+ 115.027379885723*x13 =L= 0;
e7.. 276.906393340321*x3 - 266.04731909168*x6 - 123.367805995674*x13
+ 123.367805995674*x14 =L= 0;
e8.. - 95*x7 - 100*x11 + objvar =E= 0;
* set non default bounds
* set non default levels
* set non default marginals
Model m / all /;
m.limrow=0; m.limcol=0;
$if NOT '%gams.u1%' == '' $include '%gams.u1%'
Solve m using LP minimizing objvar;
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