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...

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...

In this paper we study a family of finite difference schemes in two dimensions to model the single phase flow of oil through heterogeneous porous media. That family depends on one parameter θ, 0 ≤ θ ≤ 1. Using a suitable order of equations and unknowns, a linear system of equations, with a...

Thermoelectric self-cooling systems hold good prospects for the future, since they improve the cooling of any heat-generating device without electricity consumption. The potential number of applications seems to be enormous, hence the necessity of a specific model to simulate this type of...

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...