Karel J. in 't Hout - researchr alias

researchr

You are not signed in
Sign in
Sign up

Viewing Publication 1 - 11 from 11

2021

Operator splitting schemes for the two-asset Merton jump-diffusion modelLynn Boen, Karel J. in 't Hout. jcam, 387:112309, 2021. [doi]

Numerical valuation of Bermudan basket options via partial differential equationsKarel J. in 't Hout, Jacob Snoeijer. ijcm, 98(4):829-844, 2021. [doi]

2019

BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problemsLina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén. ijcm, 96(10):1910-1923, 2019. [doi]

2018

On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston ModelWillem Hundsdorfer, Karel J. in 't Hout. siamsc, 40(3), 2018. [doi]

Special issue - Computational and algorithmic financeKarel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen. jocs, 24:180-181, 2018. [doi]

An adjoint method for the exact calibration of stochastic local volatility modelsMaarten Wyns, Karel J. in 't Hout. jocs, 24:182-194, 2018. [doi]

2016

Analytic models for parameter dependency in option price modellingAnnie A. M. Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel J. in 't Hout. na, 73(1):15-31, 2016. [doi]

Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative termKarel J. in 't Hout, Maarten Wyns. jcam, 296:170-180, 2016. [doi]

2015

EditorialKarel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen. ijcm, 92(12):2345-2346, 2015. [doi]

2012

Stability of central finite difference schemes for the Heston PDEKarel J. in 't Hout, Kim Volders. na, 60(1):115-133, 2012. [doi]

2001

Collocation Methods for the Computation of Periodic Solutions of Delay Differential EquationsKoen Engelborghs, Tatyana Luzyanina, Karel J. in 't Hout, Dirk Roose. siamsc, 22(5):1593-1609, 2001. [doi]

Sign in or sign up to see more results.

runs on WebDSL