We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can...

Organic phase change materials have been attracting great attentions for their promising potential in thermal energy storage applications. Due to their poor thermal conductivity and thermal diffusivity, thermally conductive fillers are often added to form composites to enhance the thermal...

In the paper, we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation of European options with proportional transaction...

In this paper we present a formulation of a finite difference Crank–Nicolson scheme for the numerical solution of the unsteady heat equation in 2+1 dimensions, a problem which has not been extensively studied when the spatial domain has an irregular shape. It is based on a second order...

We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can...