In this paper, an exact and explicit solution of the well-known Black–Scholes equation for the
valuation of American put options is presented for the first time. To the best of the author's …

This paper reports on the development of a two-dimensional, fully nonlinear Computational
Fluid Dynamics (CFD) model to analyse the efficiency of fixed Oscillating Water Column (…

In this paper, we present a highly efficient approach to price variance swaps with discrete
sampling times. We have found a closed‐form exact solution for the partial differential equation …

The shear behaviour of a rough rock joint depends largely on the surface properties of the
joint, as well as the boundary conditions applied across the joint interface. This paper …

In this study we present a closed‐form, exact solution for the pricing of VIX futures in a stochastic
volatility model with simultaneous jumps in both the asset price and volatility processes. …

This paper investigates the pricing of double barrier options when the price change of the
underlying is considered as a fractal transmission system. In this scenario, the option price is …

Prior research on wave energy devices such as Oscillating Water Column (OWC) systems has
revealed the complex nature of the interactions between ocean waves and these systems. …

In this paper, we introduce a new numerical scheme, based on the ADI (alternating direction
implicit) method, to price American put options with a stochastic volatility model. Upon …

In this paper, a new analytical formula as an approximation to the value of American put options
and their optimal exercise boundary is presented. A transform is first introduced to better …

Computational Fluid Dynamics (CFD) has progressed rapidly in the past fifty years. It has
been used in many industrial fields and plays an irreplaceable role in engineering design and …