• Bulletin of the Korean Mathematical Society
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• v.60 no.2
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• pp.361-388
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• 2023

In this study, we deal with American lookback option prices on dividend-paying assets under a stochastic volatility (SV) model. By using the asymptotic analysis introduced by Fouque et al. [17] and the Laplace-Carson transform (LCT), we derive the explicit formula for the option prices and the free boundary values with a finite expiration whose volatility is driven by a fast mean-reverting Ornstein-Uhlenbeck process. In addition, we examine the numerical implications of the SV on the American lookback option with respect to the model parameters and verify that the obtained explicit analytical option price has been obtained accurately and efficiently in comparison with the price obtained from the Monte-Carlo simulation.

• Structural Engineering and Mechanics
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• v.15 no.6
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• pp.735-752
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• 2003

The quasi-static and dynamic responses of a linear viscoelastic circular beam on Winkler foundation are studied numerically by using the mixed finite element method in transformed Laplace-Carson space. This element VCR12 has 12 independent variables. The solution is obtained in transformed space and Schapery, Dubner, Durbin and Maximum Degree of Precision (MDOP) transform techniques are employed for numerical inversion. The performance of the method is presented by several quasi-static and dynamic example problems.