In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf factorization method developed in Kudryavtsev and Levendorskǐi (Finance Stoch. 13: 531–562, 2009). The first method uses the Gaver-Stehfest algorithm, t...

Numerical inverse Laplace transform (NILT) methods are widely used in various scientific areas, especially for a solution of respective differential equations. In field of an electrical engineering many various approaches have been considered so far, but mostly for a single variable (1D NILT), see at least (Brančík, 1999, 2007b; Cohen, 2007; Valsa & Brančík, 1998; Wu at al., 2001) from plenty o...

he development of algorithms needed for the analytic solution of state space design equations using a computer algebra system (MapleV) is presented in this article. These calculations involve mati ix manipulations, eigenvalue-eigenvector determinations, Laplace and Inverse Laplace transformations, Z and Inverse Z transformations, which are complex, tedious, and error prone, even for simple exam...

An infinitely long hollow cylinder containing isotropic linear elastic material is considered under the effect of arbitrary boundary stress and thermal condition. The two-dimensional coupled thermoelastodynamic PDEs are specified based on equations of motion and energy equation, which are uncoupled using Nowacki potential functions. The Laplace integral transform and Bessel-Fourier series are u...

an infinitely long hollow cylinder containing isotropic linear elastic material is considered under the effect of arbitrary boundary stress and thermal condition. the two-dimensional coupled thermoelastodynamic pdes are specified based on equations of motion and energy equation, which are uncoupled using nowacki potential functions. the laplace integral transform and bessel-fourier series are u...

The generalized coupled thermo-viscoelasticity of hollow sphere subjected to thermal symmetric shock load is presented in this paper. To overcome the infinite speed of thermal wave propagation, the Lord-Shulman theory is considered. Two coupled equations, namely, the radial equation of motion and the energy equation of a hollow sphere are obtained in dimensionless form. Resulting equations are ...

We propose a LT (Laplace transformation) method for solving the PIDE (partial integro-differential equation) arising from the financial mathematics. An option model under a jump-diffusion process is given by a PIDE, whose non-local integral term requires huge computational costs. In this work, the PIDE is transformed into a set of complex-valued elliptic problems by taking the Laplace transform...

A dual-reciprocity boundary element method is presented for the numerical solution of a class of axisymmetric elastodynamic problems. The domain integrals that arise in the integrodifferential formulation are converted to line integrals by using the dual-reciprocity method together suitably constructed interpolating functions. The second order time derivatives of the displacement in the governi...