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...

Knowledge-based regional and urban studies are plentiful; some systematics might be in order at this junction, so first the different links between economic production units in geographical space have to be clearly defined. Then a tool to represent the dynamics of those links should be selected;...