Dual scattering channel schemes extend the transmission line matrix numerical method (Johns’ TLM algorithm) in two directions. Firstly, transmission line links are replaced by abstract scattering channels in terms of paired distributions (characteristic impedances are thus neither needed, nor...

In this paper analytical solutions for European option prices are derived for a class of rather general asset specific pricing kernels (ASPKs) and distributions of the underlying asset. Special cases include underlying assets that are lognormally or log-gamma distributed at expiration date T....

A modified explicit finite difference approach to the pricing of barrier options is developed. To obtain accurate prices, the grid is constructed such that the barrier is located in a suitable position relative to horizontal layers of nodes on the grid. This means that the barrier passes through...

American options are considered in a market where the underlying asset follows a Variance Gamma process. A sufficient condition is given for the failure of the smooth fit principle for finite horizon call options. A second-order accurate finite-difference method is proposed to find the American...

We present an effective finite difference formulation for implementing and modeling multiple borehole heat exchangers (BHE) in the general 3-D coupled heat and flow transport code SHEMAT. The BHE with arbitrary length can be either coaxial or double U-shaped. It is particularly suitable for...

A new computational method for approximating prices of zero-coupon bonds and bond option prices under general Chan–Karolyi–Longstaff–Schwartz models is proposed. The pricing partial differential equations are discretized using second-order finite difference approximations and an...

Incremental unknowns, earlier designed for the long-term integration of dissipative evolutionary equations, are introduced here for the incompressible Navier–Stokes equations in primitive variables when multilevel finite-difference discretizations on a staggered grid are used for the spatial...